麻烦请帮我看下如下思路错在哪里
问题如下图：
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品职答疑小助手雍 · 2019年09月02日
同学你好，这题不能直接拿spot rate进行利差的加减，如果要严格算利差的话，首先要求出当前市场公允的swap rate然后和之前的4%的swap rate作差再折现才能求出value。这相当于你现在在市场上进入一个swap把当前的头寸平掉。
先求目前的swap rate（sr）： sr*EXP(-0.035)+(1+sr)*EXP(-0.09)=1, 求出sr等于4.5792572%
然后再用合约的swap rate 和当前的swap rate作差折现（乘以本金）。 （4%-sr）*exp（-0.035）+（4%-sr）*exp（-0.045*2） 算出来再乘以5000000得到-54436.75
magico · 2019年09月02日
好像还是有点晕，为什么要用公允的swap rate来算利差？
品职答疑小助手雍 · 2019年09月02日
这题本来算固定和浮动两端分开算就可以了的。非要用利差算的话只能是假设现在在市场上进入另一个swap把当前swap的浮动端抵消掉，持有的swap只剩收固定端，新swap只剩付固定端，求这两个固定端的利差再折现来求value。
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 比如，本题是floating payer，最终是用计算出的fix现金流的现值-面值1，为什么不是用1-fix现值呢，谢谢
NO.PZ2019052801000049问题如下A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to:A.$54,437.B.$-54,437.C.-$30,125.$30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 老师，题目里的“Toy is the reset y”是什么意思啊？
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 如题
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437
NO.PZ2019052801000049问题如下A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to:A.$54,437.B.$-54,437.C.-$30,125.$30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 题目中说浮动用的是payer，固定用的是payment，那到底哪个是付出，哪个是收到怎么区分？