NO.2024061801000098

NO.PZ2024061801000098 问题如下 Consir the following information:$1 million notionvalue, semiannual, 18-month maturity.Spot SOFR rates: 6 months, 2.6%; 12 months, 2.65%; 18 months, 2.75%.The fixerate is 2.8%, with semiannupayments.Whiof the following amounts is closest to the value of the swto the floating rate payer, assuming thit is currently the floating-rate reset te? A.−$1,026. B.$1,026. C.−$12,416. $12,416. B fixe= ($14,000 / 1.0260.5) + ($14,000 / 1.02651) + [($1,000,000 + $14,000) /1.02751.5] = $13,821 + $13,639 + $973,566 = $1,001,026Note thwe are a (semiannual) reset te, so the floating-rate portion ha value equto the notionamount.Vsw= (Bfixe− Bfloating) = $1,001,026 − $1,000,000 = $1,026 为什么 “we are a (semiannual) reset te, so the floating-rate portion ha value equto the notionamount.\"? present value of floating要怎么计算呢？