问一道题：NO.PZ2019010402000009 [ CFA II ]

NO.PZ2019010402000009问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598B.656,338C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate，也就是以现在的市场条件签订一个到期日相同的合约的swrate，它等于1.4853%。而且我们注意到，这是一个均衡的swrate。Swrate即固定利率，它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率，即与interest swrate的定价是一样的，就算题目没有告诉我们current equilibrium fixeswrate，我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%（最后一期的本金相互抵消），然后向前折现，折现因子已经求出，分别为0.990099和0.970874，所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 题干写的是收浮方，为啥说进入了反向合约。

NO.PZ2019010402000009 问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598 B.656,338 C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate，也就是以现在的市场条件签订一个到期日相同的合约的swrate，它等于1.4853%。而且我们注意到，这是一个均衡的swrate。Swrate即固定利率，它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率，即与interest swrate的定价是一样的，就算题目没有告诉我们current equilibrium fixeswrate，我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%（最后一期的本金相互抵消），然后向前折现，折现因子已经求出，分别为0.990099和0.970874，所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。，哪里题目体现了所谓的反向？用画图法怎么计算呢，reset节点为什么不加F(360)

NO.PZ2019010402000009 问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598 B.656,338 C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate，也就是以现在的市场条件签订一个到期日相同的合约的swrate，它等于1.4853%。而且我们注意到，这是一个均衡的swrate。Swrate即固定利率，它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率，即与interest swrate的定价是一样的，就算题目没有告诉我们current equilibrium fixeswrate，我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%（最后一期的本金相互抵消），然后向前折现，折现因子已经求出，分别为0.990099和0.970874，所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 RT

NO.PZ2019010402000009 问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598 B.656,338 C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate，也就是以现在的市场条件签订一个到期日相同的合约的swrate，它等于1.4853%。而且我们注意到，这是一个均衡的swrate。Swrate即固定利率，它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率，即与interest swrate的定价是一样的，就算题目没有告诉我们current equilibrium fixeswrate，我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%（最后一期的本金相互抵消），然后向前折现，折现因子已经求出，分别为0.990099和0.970874，所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 我理解的是 T= 3 时利差就是1.4853%-1.82%=-0.3617%,现在在T=1 时点， 那么 就应该用MRR2 来折现。 不理解 为什么说利差是发生在第2年和第3年。

NO.PZ2019010402000009 问题如下 A aler entereinto a three-yeinterest rate swwith annupayments one yeago a floating receiver. The current equilibrium fixeswrate is 1.4853% (one yeafter the swworiginally entere. The initiswrate is 1.82% annotionprinciple is $100 million.The value of this swis: A.-670,598 B.656,338 C.-656,338 C is correct.考点interest sw求value解析Present Value Factor 1 = 11+1%×360360=0.990099\frac1{1+1\%\times\frac{360}{360}}=0.9900991+1%×360360​1​=0.990099 Present Value Factor 2 = 11+1.5%×720360=0.970874\frac1{1+1.5\%\times\frac{720}{360}}=0.9708741+1.5%×360720​1​=0.970874Ÿ投资者之前的合约是收浮动，付固定，现在进入反向合约，即收固定，付浮动。浮动端可以抵消，剩下的就是收新的固定利率，付之前合约中约定的swrate。Ÿ向上箭头current equilibrium fixeswrate，也就是以现在的市场条件签订一个到期日相同的合约的swrate，它等于1.4853%。而且我们注意到，这是一个均衡的swrate。Swrate即固定利率，它可以看成是市场中浮动利率的打包价。所谓均衡就是说是无套利情况下计算出来的固定利率，即与interest swrate的定价是一样的，就算题目没有告诉我们current equilibrium fixeswrate，我们也能计算 1−0.9708740.990099+0.970874=1.4853%\frac{1-0.970874}{0.990099+0.970874}=1.4853\%0.990099+0.9708741−0.970874​=1.4853%Ÿ 每一期的差额=1.4853%-1.82%（最后一期的本金相互抵消），然后向前折现，折现因子已经求出，分别为0.990099和0.970874，所以(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338(1.4853\%-1.82\%)\times(0.990099+0.970874)\times100,000,000=-656,338(1.4853%−1.82%)×(0.990099+0.970874)×100,000,000=−656,338 这是啥考点？为啥进入方向对冲合约，哪里写的？