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蜗牛也是牛Megan · 2024年08月21日

为什么现金流为正？

  1. CFA II
  2. Derivative

NO.PZ2023020101000020

问题如下：

Mbali Ndlovu, a trader on Mafadi’s derivatives desk, works closely with Fourie to implement solutions for his clients. Ndlovu receives a request from Fourie to structure an OTC swap transaction for one of his clients. After reviewing the request, Ndlovu agrees to be the counterparty for a one-year swap on Tanzanite Resources (Tanzanite) stock in which the client is seeking to enter into a receive-equity returns and pay-fixed arrangement. Tanzanite does not pay a dividend. The swap is structured as a quarterly reset, 30/360 day count, with a notional value of ZAR 5,000,000. The fixed rate is 3.2% annually. Tanzanite has a return of –3.6% for the first quarter.

The cash flow to Ndlovu after the first quarter of the Tanzanite swap is closest to:

选项：

A.

ZAR219,529.

B.

–ZAR140,471.

C.

ZAR340,000.

解释：

The quarterly interest rate is calculated as [(1 + 3.2%)*(1/4)] – 1 = 0.0079, so the fixed cash flow

Ndlovu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return of the equity is negative,

so Ndlovu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 from the Tanzanite return.

Therefore, the net cash flow to Ndlovu is ZAR219,528.77 *(39,528.77 + 180,000.00).

receive-equity returns and pay-fixed arrangement，题目不是这个意思吗？股票亏了等于还要支出的，就应该是-220000，而且swap不是都是单利吗

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1 个答案

李坏_品职助教 · 2024年08月22日

嗨，爱思考的PZer你好：


interest rate swap才是单利，本题是equity swap。


题目问的是“The cash flow to Ndlovu”，也就是Ndlovu这个人收到的现金流是多少。题目说的“receive-equity returns and pay-fixed arrangement”，这个是客户的，而Ndlovu是客户的对手方（Ndlovu agrees to be the counterparty）, 所以Ndlovu的现金流与客户相反，应该是支付股票收益、收取固定利息。股票收益率是负数，Ndlovu支付一个负收益，也就是会收取 ZAR5,000,000 * 0.0360 = ZAR180,000.00，外加本来就要收取fixed cash flow = ZAR39,528.77。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

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