NO.PZ2023041003000024 问题如下 One of the bank’s investments isexposeto movements in the Japanese yen, anJohnson sires to hee thecurrenexposure. She prices a one-yefixefor-fixecurrenswapinvolving yen anUS llars, with a quarterly reset. Johnson uses the interestrate ta presentein Exhibit 3 to prithe currenswap.Exhibit 3 SelecteJapanese anUS Interest Rate taBasen Exhibit 3, Johnson shoultermine ththe annualizeequilibrium fixewrate for Japanese yen is closest to: A.0.0624%. B.0.1375%. C.0.2496%. The equilibrium swfixerate for yen iscalculate The yen present value factors are calculatel 90-y PV factor =1/[0.0005(90/360)]= 0.999875. l 180-y PV factor =1/[0.0010(180/360)]= 0.999500.l 270-y PV factor =1/[0.0015(270/360)] = 0.998876. l 360-y PV factor =1/[0.0025(360/360)] = 0.997506.Sum of present value factors = 3.995757. Therefore, the yen perioc rate is calculates The annualizerate is (360/90) times theperioc rate of 0.0624%, or 0.2496%. 老师，您好！题目中哪里强调了这些利率是季度利率，而不是年利率呢？如下图一样，图中的题目答案是B，也没有额外进行年化，因为计算过程中就已经是年化的方式了。回到本题，如果强调了是季度利率，那么额外进行年化没问题。但是没看出来哪里强调过，没有额外强调则默认理解为年化利率才对，也就无需再年化了。麻烦老师一下，谢谢!
NO.PZ2023041003000024问题如下 One of the bank’s investments isexposeto movements in the Japanese yen, anJohnson sires to hee thecurrenexposure. She prices a one-yefixefor-fixecurrenswapinvolving yen anUS llars, with a quarterly reset. Johnson uses the interestrate ta presentein Exhibit 3 to prithe currenswap.Exhibit 3 SelecteJapanese anUS Interest Rate taBasen Exhibit 3, Johnson shoultermine ththe annualizeequilibrium fixewrate for Japanese yen is closest to: A.0.0624%.B.0.1375%.C.0.2496%. The equilibrium swfixerate for yen iscalculate The yen present value factors are calculatel 90-y PV factor =1/[0.0005(90/360)]= 0.999875. l 180-y PV factor =1/[0.0010(180/360)]= 0.999500.l 270-y PV factor =1/[0.0015(270/360)] = 0.998876. l 360-y PV factor =1/[0.0025(360/360)] = 0.997506.Sum of present value factors = 3.995757. Therefore, the yen perioc rate is calculates The annualizerate is (360/90) times theperioc rate of 0.0624%, or 0.2496%. 为什么不选A的计算过程不是年化了吗
