问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
第一，我不太理解这个交易中 双方交换的现金流是什么？我读题之后的理解是，对方给我利息（Libor+50bp）+MM value 我（CLN售出方）给对方 Libor+ 90 bp（CDS spread），这种情况下 我是亏了的 所以溢价发行 不是么？
其次 是计算过程
NO.PZ2016082406000073 A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 这题到底要怎么做？完全无法理解，请老师讲的更基础些。 我看之前老师说将CLN当作一个boncoupon就是5.6%，但是c sprea5.9%。 然后我就不知道怎么做了
NO.PZ2016082406000073 A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 就是答案说应该拿来折现的利率应该是C的利率，这是为啥呢。 .用来折现的利率不是应该拿市场利率也就是Libor的利率吗，即5%。为什么要用C一个金融产品的利率（而非市场利率）来折现呢。
A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 老师第二个思路，不是很看得懂，感觉上他的思路是用C定价推到出来的价格，为什么直接求ration 在乘以 sprea差，没感觉出来这一步和公式有什么关系
没看懂题干，能一下吗
A three-yecret-linkenote (CLN) with unrlying company Z ha LIBOR+60semiannucoupon. The favalue of the CLN is US100. LIBOR is 5% for all maturities. The current three-yeC sprefor company Z is 90bp. The fair value of the CLN is closest to US100.00 US111.05 US101.65 US99.19 ANSWER: Because the current C spreis greater ththe coupon, the CLN must selling a scount. The only solution is More precisely, we cuse the spreration from Equation: V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt)V={(\text{PV Payoff})}-s(\text{PV Sprea)={(\sum_{t=1}^Tk_t{(1-f)}{\text{PV}}_t)}-s{(\sum_{t=1}^TS_{t-1}{\text{PV}}_t)}V=(PV Payoff)−s(PV Sprea=(∑t=1Tkt(1−f)PVt)−s(∑t=1TSt−1PVt), whiis the sum of the present value factor over three years. Assuming a flterm structure,this is ∑PVt=0.952+0.907+0.864=2.72\sum PV_t=0.952+0.907+0.864=2.72∑PVt=0.952+0.907+0.864=2.72 years. Multiplying (90-60) = 30gives a fall of 0.81%,whigives $99.19. 请问为什么C比coupon大，CLN就是折价的，谢谢
