NO.PZ2023020101000016
问题如下：
Mehta, who is based in Hong Kong SAR and
requires a €25,000,000 one-year bridge loan to fund operations in Germany. He
wants to fund this loan at a competitive rate. Riley advises Mehta to borrow in
HK dollars and enter into a one-year foreign currency swap to swap into euros.
The current exchange rate is HK$9.15 per euro. Exhibit 1 below provides Hong
Kong and euro spot interest rates and present value factors.
Exhibit
1: Hong Kong and Euro Spot Interest Rates
Based on the information in Exhibit 1, the
annual fixed swap rate Mehta would pay is closest
to：
选项：
A.0.47%.
0.92%.
C.
1.88%.
解释：
PV
factors for Euro are provided along with an explanation of how they are
calculated:
For
example, PV(90) is calculated as follows:
Other
present value factors are calculated in a similar manner.
The
fixed rate is calculated as follows:
The
annualized rate = 0.001178 × 4 = 0.004712.
老师，你好，我是这样做的，不知道为什么不对：
事件发生：
T0: borrow 25mn *9.15 HKD for EURO25mn;
T1: return HKD: 25*9.15 *(1+0.0935%).
Cash flow:
1.我没有假设quarterly compounding，认为t=1是唯一现金流交换时间
2.因为通过swap得到欧元，所以支付欧元；被支付港币floating rate
at t1:
c = 25mn EURO * swap rate
float leg = 25mn * 9.15 * 0.935%
在t1时候，EUR/HKD Swap back。
那么c & float leg discount to t0应该价格相等：
25mn EURO * swap rate *0.9953 = 25mn * 9.15 * 0.935% * 0.9907
所以swap rate = 8.5%.....
请问问题是哪里，而且为什么是quarterly compounding?
