为什么不用0.58%

NO.PZ2023091802000162

问题如下：

Savers Bancorp entered into a swap agreement over a 2-year period on August 9, 2008, with which it received a 4.00% fixed rate and paid LIBOR plus 1.20% on a notional amount of USD 6.5 million. Payments were to be made every 6 months. The table below displays the actual annual 6-month LIBOR rates over the 2-year period. (Practice Exam)

Assuming no default, how much did Savers Bancorp receive on August 9, 2010?

选项：

USD 72,150

USD 78,325

USD 117,325

USD 156,650

解释：

The proper interest rate to use is the 6-month LIBOR rate at February 9, 2010, since it is the 6-month LIBOR that will yield the payoff on August 9, 2010. Therefore the net settlement amount on August 9th, 2010 is as follows:

Savers receives: 6,500,000 * 4.00% * 0.5 years, or USD 130,000

Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5, or USD 51,675.

Therefore Savers would receive the difference, or 78,325.

如题

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1 个答案

pzqa39 · 2024年05月04日

嗨，爱思考的PZer你好：

题目中说合约的收益将在2010年8月9日实现，为了准确估算这笔未来收益的现值或成本，需要用到一个贴现率。选择的贴现率应该是与该收益实现日期相匹配的利率水平，这里是6个月的周期，因此追溯到收益实现前正好6个月的LIBOR利率，即2010年2月9日的6个月LIBOR。这样做是为了确保计算过程中使用的风险和时间价值补偿与市场实际情况相符。

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努力的时光都是限量版，加油！

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NO.PZ2023091802000162问题如下 Savers Bancorp enterento a swagreement over a 2-yeperioon August 9, 2008, with whiitreceivea 4.00% fixerate anpaiLIBOR plus 1.20% on a notionamount ofUS6.5 million. Payments were to ma every 6 months. The table below splaysthe actuannu6-month LIBOR rates over the 2-yeperio (PractiExam)Assuming no fault, how muSavers Bancorp receive on August9, 2010? A.US72,150B.US78,325C.US117,325US156,650 The proper interest rate to use is the 6-month LIBOR rate atFebruary 9, 2010, sinit is the 6-month LIBOR thwill yielthe payoff onAugust 9, 2010. Therefore the net settlement amount on August 9th, 2010 is asfollows: Savers receives: 6,500,000 * 4.00% * 0.5years, or US130,000 Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5,or US51,675. Therefore Savers woulreceive the fference,or 78,325. 老师，都是求value，为什么图片的题就是要用到本金，而这道题就不用本金，可以总结成，如果是折现到过去求value的就要用到本金，转化成债券，如果是求现在的value就直接收到和付出做差？

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NO.PZ2023091802000162 问题如下 Savers Bancorp enterento a swagreement over a 2-yeperioon August 9, 2008, with whiitreceivea 4.00% fixerate anpaiLIBOR plus 1.20% on a notionamount ofUS6.5 million. Payments were to ma every 6 months. The table below splaysthe actuannu6-month LIBOR rates over the 2-yeperio (PractiExam)Assuming no fault, how muSavers Bancorp receive on August9, 2010? A.US72,150 B.US78,325 C.US117,325 US156,650 The proper interest rate to use is the 6-month LIBOR rate atFebruary 9, 2010, sinit is the 6-month LIBOR thwill yielthe payoff onAugust 9, 2010. Therefore the net settlement amount on August 9th, 2010 is asfollows: Savers receives: 6,500,000 * 4.00% * 0.5years, or US130,000 Savers pays 6,500,000 * (0.39% + 1.20%) * 0.5,or US51,675. Therefore Savers woulreceive the fference,or 78,325. 为什么receive和pay都乘0.5years?

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