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Drink H · 2020年02月27日

问一道题：NO.PZ2020021204000046 [ FRM I ]

  1. FRM I
  2. Financial Markets And Products

问题如下：

Suppose that the quotes for a five-year interest rate swap are bid 3.2,ask3.24 a company can borrow at Libor plus 50 basis points but wants to borrow for five years at a fixed rate. What swap should the company enter into? What rate of interest does the company end up borrowing at? (Assume that the spread above Libor at which the company borrows does not change.)

解释：

The company should arrange to pay fixed and receive floating to convert the floating-rate loan to a fixed-rate loan. It will accept the ask quote of 3.24. Its cash flows will be

• Pay 3.24%,

• Receive Libor, and

• Pay Libor + 0.5%.

These net to 3.74%.

题目的意思是这公司借浮动L+50bps，但又想变成借固定对吧？那它为什么又要pay 3.24%又要pay L+50bps呢？
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1 个答案

orange品职答疑助手 · 2020年02月28日

同学你好，它的意思是，在利率互换协议里面，付固定利率，收到浮动利率Libor。然后因为它贷款要还的是libor+50bp，所以他把收到的LIbor，再加上自己多付50bp，就可以还掉浮动利率贷款了。这样他总共就相当于付出了3.24% + 50 bp

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NO.PZ2020021204000046 问题如下 Suppose ththe quotes for a five-yeinterest rate sware bi3.2,ask3.24 a company cborrow Libor plus 50 basis points but wants to borrow for five years a fixerate. Whswshoulthe company enter into? Whrate of interest es the company enup borrowing at? (Assume ththe spreabove Libor whithe company borrows es not change.)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #464046}span.s1 {color: #4e586a}span.s2 {color: #324569} The company shoularrange to pfixeanreceive floating to convert the floating-rate loto a fixerate loan. It will accept the ask quote of 3.24. Its cash flows will be• P3.24%,• Receive Libor, an PLibor + 0.5%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #463f46}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #484042}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443e44}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #4b4246}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443f46}span.s1 {color: #324569}span.s2 {color: #4c5f}span.s3 {color: #6b554c}span.s4 {color: #0080aa}span.s5 {color: #3a4567}span.s6 {color: #77747b}These net to 3.74%. 助教你好，请问你可以画个小图说明这题浮动利率和固定利率的方向吗？谢谢。

2023-06-19 22:22 1 · 回答

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2022-05-26 01:14 1 · 回答

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NO.PZ2020021204000046 swap合约里面默认收到的浮动就是Libor，不能是Libor +/- 吗？

2022-02-17 10:57 1 · 回答

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2021-09-17 14:46 1 · 回答