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Cooljas · 2024年05月12日

可以帮忙画个时间轴分析下吗？没看懂

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000160

问题如下：

Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9 and 15 months. Spot LIBOR rates are as following: 3 months at 5.4%; 9 months at 5.6%; and 15 months at 5.8%. The LIBOR at the last payment date was 5.0%. Calculate the value of the swap to the fixed-rate receiver using the bond methodology.

选项：

A.

$6,077

B.

-$6,077

C.

-$5,077

D.

$5,077

解释：




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1 个答案

品职答疑小助手雍 · 2024年05月13日

同学你好，这个道理挺重要的，不过画图并不容易解释。

浮动利率债券的属性是期初确定本期付的利息，那么站在期初的时点，就是coupon和折现的利率是一样的，所以浮动利率债券在期初的时候会等于面值。

但是如果期初之后几天，市场利率（折现率）变了，此时本题的利息虽然在期末支付，但是已经确定了金额（coupon），然后又会在下个付息日回归面值。那此时就可以以下个付息日的面值fv，本期coupon和折现率来求value了。


固定端的债券value就是常规付息债券的计算方式。

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