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CC · 2024年08月06日

定价币种

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%.

B.

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:

$\frac1{1+0.00372\ast\frac{90}{360}}=0.9991$

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

$\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.001178$

The annualized rate = 0.001178 × 4 = 0.004712.

老师问题问的：the annual fixed swap rate Mehta would pay is closest to：意思就是计算Mehta支付的固定利率的货币的定价是么？

该题是欧元和港币的兑换，Mehta要支付欧元利息，所以定价应该计算欧元的定价？

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pzqa35 · 2024年08月07日

嗨，从没放弃的小努力你好：

是的哈，他的swap是支付欧元利息，收到港币利息，定价是定他支付利息的这个货币的swap rate。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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