NO.PZ2023041003000021
问题如下：
Johnson prices a three-year Libor-based interest
rate swap with annual resets using the present value factors presented in
Exhibit 1.
Exhibit 1 Present Value Factors
Johnson also uses the present value factors in
Exhibit 1 to value an interest rate swap that the bank entered into one year ago
as the receive-floating party. Selected data for the swap are presented in
Exhibit 2. Johnson notes that the current equilibrium two-year fixed swap rate
is 1.12%.
Exhibit 2 Selected Data on Fixed for Floating Interest Rate Swap
From
the bank’s perspective, using data from Exhibit 1, the current value of the
swap described in Exhibit 2 is closest to
选项：
A.
-$2,951,963.
B.
-$1,849,897.
C.
-$1,943,000.
解释：
The value of a swap from the perspective of the receive-fixed party is
calculated as
The swap has two years remaining until expiration. The sum of the
present values for Years 1 and 2 is
Given the current equilibrium two-year swap rate of 1.12% and the fixed
swap rate at initiation of 3.00%, the swap value per dollar notional is
calculated as
V = (0.03 -
0.0112)1.967975 = 0.036998
The current value of the swap, from the perspective of the receive-fixed
party, is $50,000,000 x 0.036998 = $1,849,897.
From the perspective of the bank, as the receive-floating party, the
value of the swap is -$1,849,897.
浮动段，1时间点等于本金50mn。固定段，两笔1.5mn折线求和。两段做差求value
