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pennys · 2019年03月03日

问一道题:NO.PZ2016082402000064

问题如下图:

    

选项:

A.

B.

C.

D.

解释:

最后难道不应该把本金加上一起折现吗?为什么只算收益折现?


1 个答案

品职答疑小助手雍 · 2019年03月03日

同学你好,利率互换的交易交易之初是不互换本金的(因为本金相同),所以算value时也不会计算本金。而且即使互换了本金同样的本金用同样的利率折现互相还是抵消的。

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NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

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NO.PZ2016082402000064 老师,我是按照收到8%固定利率支出7%LIBOR来做的,虽然题目中说了ABC公司在第二年末违约了,但是从计算的角度来看违约产生的loss体现在哪里了呢?

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