syfzln · 2025年05月31日
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：
这题用画图法怎么做？
李坏_品职助教 · 2025年05月31日
嗨，爱思考的PZer你好：
向上箭头是未来的三笔固定利率的现金流，分别是6个月，12个月的利息，以及最后18个月的利息+本金。固定利率的利息 = 14000，最后的本金是1000000. 先把向上箭头全部折现到0时刻，然后求和，就得到了Bfixed = 1001026.
向下箭头是浮动利息的现金流，这个不需要计算，因为现在恰好是在 the floating-rate reset date，那么由于浮动利率的现金流的分子，分别是三个SOFR利率，而分母折现率恰好也是SOFR利率，所以最后的现值求和 = 本金1000000.
最后向上箭头 减去 向下箭头 = 1001026 - 1000000 = 1026 $ 。
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努力的时光都是限量版，加油！
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. 但為什麼這題不是用e計算？？是因為SOFR嗎？之前做其他相似題目，例如下面這題是也用e計算。sw不是都用e計算嗎？
其它问题 这个答案的格式有问题 fixe= ($14,000 / 1.0260.5) + ($14,000 / 1.02651) + [($1,000,000 + $14,000) /1.02751.5] = $13,821 + $13,639 + $973,566 = $1,001,026
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？
