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saimeiei · 2019年08月20日

问一道题：NO.PZ2019052801000050

  1. FRM I
  2. Financial Markets And Products

问题如下图：

    

选项：

A.

B.

C.

D.

解释：


老师你好，请问一下

1、这道题默认起初的时候汇率为1？总觉得不太合理~

2、swap、fra的题不是应该用离散单利吗，为什么这里用连续复利呢？

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orange品职答疑助手 · 2019年08月22日

哦哦哦，同学你说的是这个意思。对的，这道题不是特别严谨。正常的话应该是美元本金和AS本金不相等的，这里题目是当成相等的去做了。

orange品职答疑助手 · 2019年08月21日

1、它不是起初汇率为1，它是分别折现到了0时刻（此时是用各自货币的利率折现的，因此暂时不用考虑汇率）；然后把折现为AS的那笔现金流，再用0时刻的汇率1.2转换成了美元

2、其实都有用的。frm因为是邀题制，并不严谨，它有的时候用离散单利，有的时候用连续复利。但折现方式的不同，不会影响最终结果的选取，不会相差很大导致选错选项的

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NO.PZ2019052801000050问题如下A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars is 3.6%.The current spot exchange rate is A$1.2 / $ . The US term structure is: r(90)=3.58% r(180)= 3.74% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million.B.$142,145million.C.$166 ,385.$-166 ,385. C is correct. 考点货币互换估值.解析美国公司收美元本金和利息的价值lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 1、“本题是1年期的swap，每季度交换一次，已经过了半年了，求value的问题”求的不是0时刻签约的value？那是求1年到期，现在的value？2、FRM考试只要给了利率没说怎么计息，就用连续复利吗？

2024-07-08 21:16 3 · 回答

NO.PZ2019052801000050 问题如下 A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars is 3.6%.The current spot exchange rate is A$1.2 / $ . The US term structure is: r(90)=3.58% r(180)= 3.74% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million. B.$142,145million. C.$166 ,385. $-166 ,385. C is correct. 考点货币互换估值.解析美国公司收美元本金和利息的价值lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 老师按照基础班讲义的238和239页的原理来说，美国公司在期初收A，付US在期末就要付A，收美元；老师上课的时候说本金的交换方向和收利息的方向是反过来的嘛，但是这里为啥本金和利息的折现都是同一个方向呢？

2023-09-21 20:39 2 · 回答

NO.PZ2019052801000050问题如下 A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars is 3.6%.The current spot exchange rate is A$1.2 / $ . The US term structure is: r(90)=3.58% r(180)= 3.74% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million.B.$142,145million.C.$166 ,385.$-166 ,385.C is correct. 考点货币互换估值.解析期初和期末美国公司收美元本金和利息的价值lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227期初和期末美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 请问这个是基础课程哪里的知识点，这个答案公式有什么含义

2023-04-03 14:16 1 · 回答

NO.PZ2019052801000050 问题如下 A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars is 3.6%.The current spot exchange rate is A$1.2 / $ . The US term structure is: r(90)=3.58% r(180)= 3.74% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million. B.$142,145million. C.$166 ,385. $-166 ,385. C is correct. 考点货币互换估值.解析期初和期末美国公司收美元本金和利息的价值lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227期初和期末美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 （1）0.009,1.009,0.01,1.01怎么来的？（2）年末本金不回收吗，如果回收了在公式哪里表现了呢（3）4%和3.6%没用到吗

2023-01-26 13:33 2 · 回答

NO.PZ2019052801000050 问题如下 A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars is 3.6%.The current spot exchange rate is A$1.2 / $ . The US term structure is: r(90)=3.58% r(180)= 3.74% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million. B.$142,145million. C.$166 ,385. $-166 ,385. C is correct. 考点货币互换估值.解析期初和期末美国公司收美元本金和利息的价值lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227期初和期末美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 请问为什么这里用连续复利求解呢，谢谢

2022-09-21 16:40 3 · 回答