解析没看懂，题目问的是1年以后的敞口是多少？这里算出来的好像是3年的现值？问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
orange品职答疑助手 · 2019年03月05日
同学你好，没错呀，1年后他自己的敞口，就是 max(他手上这份合约的估值，0)。这里算出来的是他手持的这份利率互换合约在t=1时的估值
zjcjrd · 2019年03月05日
那为什么不是算4年的现金价值？
orange品职答疑助手 · 2019年03月06日
因为题目里问的是at the end of year 1 if the swap rate declines 125 basis points over the years，这里就说明不用再算第一年的现金、只用算接下来三年的现金了
陈晓昭 · 2019年10月07日
也就是说如果只是段某一年的敞口只需要看后面几年的平均fixed rate么？这里真的不是很理解…
NO.PZ2016082406000048 Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. More intuitively, the sum of the coupon fferenis 3 times {(6%-4.75%)}\$100=$1.25 (6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting.
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 老师，没看出来什么意思？
老师，题目里不是4年合约，为啥答案只算三年？