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phoebeqp · 2024年05月07日

swap rate到底是什么？

NO.PZ2018123101000027

问题如下：

Smith gathers information on spot rates for on-the-run annual-coupon government securities and swap spreads, as presented in Exhibit below.

Smith buys a four-year, zero-coupon corporate bond and then sell it after two years. Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields. Smith should show a total return closest to:

选项：

A.

4.31%.

B.

5.42%.

C.

6.53%.

解释：

C is correct.

考点：考察Riding the yield curve策略

解析：由题干已知，Swap rate来代替公司债的收益率；四年期的Swap spread息差为0.70%，4年期的国债收益率Government spot rate 为4.05%，则4年期的swap rate = 4.05% + 0.70% = 4.75%。

因此，购买的4年期零息债券的价格为：

$price=\frac{100}{{(1+0.0475)}^4}=83.058$

两年期的公司债收益率为2年期的Swap rate, swap rate = 2.70% +0.30% = 3%,

4年期的零息债券持有2年后的卖出价格为：

$price=\frac{100}{{(1+0.0300)}^2}=94.260$

则这笔投资的年化总收益为：

$\sqrt{\frac{94.260}{83.058}}-1=0.0653=6.53\%$

题目里面算出swap rate，可以用它来折现？但是课上说swap rate是一种par rate？par rate我理解就是每期现金流/pincipal的一个比率，应该是用来计算分子的？

所以swap rate到底是什么？为什么可以用来折现算价格？

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品职答疑小助手雍 · 2024年05月07日

同学你好，swap rate就是利率互换中的固定利率，算是可以一定期限收益率的均值。

题目说了可以近似用于折现Smith illustrates the returns from this strategy using the swap rate as a proxy for corporate yields.

所以就直接当做折现率来用了。

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