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jackkk · 2025年06月04日

老师,请问下,半年,用(1+2。6%/2)和用(1+2。6%)^2区别

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,请问下,半年,用(1+2。6%/2)和用(1+2。6%)^2区别

1 个答案

李坏_品职助教 · 2025年06月04日

嗨,努力学习的PZer你好:


(1+2.6%)^2 这个意思是,如果距离现在有2年的时间,那么1年利率是2.6%的话,折现需要除以(1+2.6%)的平方。

如果是距离现在只有半年的时间,也可以写成(1+2.6%)^0.5 这样。

以上都是复利算法。


如果是像半年这种很短的时间,也可以使用单利算法,也就是(1+2.6%/2)这样子。


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