老师，怎么根据进入头寸的方向来觉得哪个减去哪个？

NO.PZ2019052801000049

问题如下：

A bank entered into a swap with two years to maturity as a floating rate payer. The fixed rate is 4%, with annal payments. The notional priciple is $5,000,000. The spot interest rates are as follows: one year, 3.5%; two years, 4.5%. Today is the reset day, the current value of the swap is closest to:

选项：

$54,437.

$-54,437.

-$30,125.

$30,125.

解释：

B is correct.

考点：利率互换估值.

解析：

支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset day 价值回归面值。

收固定的一方可以看作一个固定利率债券，

$B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113$

${l}\\V=(0.989113-1)\times5,000,000=-54,437$

比如，本题是floating payer，最终是用计算出的fix现金流的现值-面值1，为什么不是用1-fix现值呢，谢谢

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1 个答案

pzqa39 · 2024年09月09日

嗨，努力学习的PZer你好：

收固定付浮动的swap duration=固定duration- 浮动duration

付固定收浮动的swap duration=-固定duration+浮动duration

收哪个利率就加上哪个利率的duration，付哪个利率就减掉哪个利率的duration

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加油吧，让我们一起遇见更好的自己！

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NO.PZ2019052801000049问题如下A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to:A.$54,437.B.$-54,437.C.-$30,125.$30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 老师，题目里的“Toy is the reset y”是什么意思啊？

2024-07-03 22:35 3 · 回答

NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 如题

2024-03-17 19:55 1 · 回答

NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437

2024-03-10 00:31 1 · 回答

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2023-07-25 21:36 2 · 回答

老师，怎么根据进入头寸的方向来觉得哪个减去哪个？

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