jackkk · 2025年06月04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.
C.
−$12,416.
D.
$12,416.
解释：
老师，不是t=0的时候，swap value=0吗
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. 这题用画图法怎么做？
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？
