NO.PZ2024061801000098
问题如下：
Consider the following information:
$1 million notional value, semiannual, 18-month maturity.
Spot SOFR rates: 6 months, 2.6%; 12 months, 2.65%; 18 months, 2.75%.
The fixed rate is 2.8%, with semiannual payments.
Which of the following amounts is closest to the value of the swap to the floating rate payer, assuming that it is currently the floating-rate reset date?
选项：
A.−$1,026.
B.$1,026.
−$12,416.
D.$12,416.
解释：
B fixed = ($14,000 / 1.0260.5) + ($14,000 / 1.02651) + [($1,000,000 + $14,000) /1.02751.5] = $13,821 + $13,639 + $973,566 = $1,001,026
Note that we are at a (semiannual) reset date, so the floating-rate portion has a value equal to the notional amount.
Vswap = (Bfixed − Bfloating) = $1,001,026 − $1,000,000 = $1,026
为什么 “we are at a (semiannual) reset date, so the floating-rate portion has a value equal to the notional amount."? present value of floating要怎么计算呢？
