问题如下图:
选项:
A.
B.
C.
D.
解释:
这道题如果不用浮动利率回归面值即250mio来做,而是将浮动利率互换部分的金额也折现,即将以浮动利率计算的二年末的20m和第三年末的271.25按照8%和8.5%折现可以么?如果以后遇到这种求value的时点刚好是回归面值到期时间的题,浮动利率部分现金流就可以直接用面值对吧?另外这里给的spot rate也是libor,为什么又不用单利折现而要用连续复利了?orange品职答疑助手 · 2019年04月21日
同学你好,“而是将浮动利率互换部分的金额也折现”,这句话的意思是,每年的浮动端和固定端都分别算,然后算一个每年的净值,然后再将每年的净值折现吗? 这个思路是可以的,但不太方便就是了。你说的 “将以浮动利率计算的二年末的20m和第三年末的271.25按照8%和8.5%折现”,用的就是浮动端和固定端分别算value,然后再相减的那种方法。因为“将以浮动利率计算的二年末的20m和第三年末的271.25按照8%和8.5%折现”,这样算出来t=1的浮动利率债券价格就是250million,其实压根都不用算,用“重定价日浮动利率债券价格等于其面值”这个结论就出来了,你的计算过程相当于是一个证明过程。
“如果以后遇到这种求value的时点刚好是回归面值到期时间的题,浮动利率部分现金流就可以直接用面值对吧”,是的。
折现的话真的考起来其实挺随意的,单利折现、复利折现算出来的值,影响没有那么大,不会干扰你做选择
NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.在节点,浮动利率会回归面值。而之前在计算浮动利率债卷的value时,在节点的现金流除了面值,还有f(90)的现金流(比如每90天交换)。请问什么时候现金流只考虑面值,什么时候需要加上f(90)的现金流啊?
NO.PZ2016082402000065 问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher. how to calculate the 18.75?
NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.这个公式是基础课哪里的知识点
NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.只用画两年现金流就可以了吗
NO.PZ2016082402000065问题如下 A bank entereinto a three-yeinterest rate swfor a notionamount of US250 million, paying a fixerate of 7.5% anreceiving LIBOR annually. Just after the payment wma the enof the first year, the continuously compounspot one-yeantwo-yeLIBOR rates are 8% an8.5%, respectively. The value of the swthtime is closest to US14 million US-6 million US-14 million US6 million ANSWER: his question ffers from the previous one, whigave the swrate. Here, we have the spot rates for maturities of one antwo years. The coupon is 7.5. The net present value (NPV) of the payments is then V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million.V=\$18.75e^{-1\times8\%}+{(\$250+\$18.75)}e^{-2\times8.5\%}=\$244million.V=$18.75e−1×8%+($250+$18.75)e−2×8.5%=$244million. Right after the reset, the value of the FRN is $250 million, leang to a gain of $6 million. This is a gain because the bank must pa fixerate but current rates are higher.第三年是250*(8.5%-7.5)折现率用7.5%?