问题如下图：
选项：
A. 
B. 
C. 
D. 
解释：
老师你好，请问以下两个问题
品职答疑小助手雍 · 2019年08月15日
同学你好，libor本来就用单利计息，但是折现可以使用复利进行折现。
另外下面那个式子如果算r12的话也应该是等于9%。不过这不是重点，用你的算法收入端其实现值不等于1的，因为这时候应该要算出浮动端的swap rate再用两个spot来折现。
saimeiei · 2019年08月15日
李老师在讲互换的时候说就是要用画图的方式，如果这么理解，用fix的利息折现-float利息的折现，我觉得没错呀，或者其实这个8%和9%并不是合约定出来的float rate？
品职答疑小助手雍 · 2019年08月15日
这个8%，9%确实不是合约定出来的啊，这俩都是市场当前的spot rate，我觉得互换这个东西按浮动端和固定端是两只债券来算是最简单的，这题你想用一个选好利率的债券代替浮动端，那就要考虑市场利率算出来的swap rate，而不是单纯的用8%和一个forward rate当作所付的利息。
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%？