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爱游泳的鱼 · 2020年04月03日

问一道题：NO.PZ201903040100000102 第2小题 [ CFA II ]

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

问题如下：

2.From the bank’s perspective, using data from Exhibit 1, the current value of the swap described in Exhibit 2 is closest to:

选项：

A.

-$2,951,963.

B.

-$1,849,897.

C.

-$1,943,000.

解释：

B is correct. The value of a swap from the perspective of the receive-fixed party is calculated as

V=NA(FS0−FSt)∑i=1n′PVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}

The swap has two years remaining until expiration. The sum of the present values for Years 1 and 2 is

∑i=1n′PVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975

Given the current equilibrium two-year swap rate of 1.12% and the fixed swap rate at initiation of 3.00%, the swap value per dollar notional is calculated as

V = (0.03 - 0.0112)1.967975 = 0.036998

The current value of the swap, from the perspective of the receive-fixed party, is $50,000,000 x 0.036998 = $1,849,897.

From the perspective of the bank, as the receive-floating party, the value of the swap is -$1,849,897.

这道题不用重新定价法，用画图法，过程如下：向上箭头=50000000，向下箭头=50000000*3%*（0.990099+0.977876)+50000000*0.977876。用向上箭头减向下箭头，得到的值是-1845762.5,老师，请问这样求对吗
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1 个答案

xiaowan_品职助教 · 2020年04月23日

同学你好，抱歉我重新看了一下这道题，你前面提到的画图法的做法是正确的，产生误差的原因是保留小数点位数的差别，

我之前的画图法仍是基于重新定价法来思考的。

很抱歉给你带来困扰了

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NO.PZ201903040100000102 -$1,849,897. -$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixeparty is calculateV=NA(FS0−FSt)∑i=1n′PVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}V=NA(FS0​−FSt​)∑i=1n′​PVt,ti​ The swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is ∑i=1n′PVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975∑i=1n′​PVt,ti​= 0.990099 + 0.977876 = 1.967975 Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateV = (0.03 - 0.0112)1.967975 = 0.036998 The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 x 0.036998 = $1,849,897. From the perspective of the bank, the receive-floating party, the value of the swis -$1,849,897.为什么向上箭头不是 本金+ f1 

2021-11-22 12:18 1 · 回答

NO.PZ201903040100000102 题中条件1.12%是否只适用于重新定价时使用，如果用画图法的话，就不需要考虑这个条件呢？

2021-05-21 11:15 1 · 回答

NO.PZ201903040100000102 这道题可以详细解答以下吗？我没看到题目的意思

2021-04-13 23:13 2 · 回答

NO.PZ201903040100000102 老师，请问画图法这样算错在哪里呢？

2021-04-11 11:05 1 · 回答

-$1,849,897. -$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixeparty is calculateV=NA(FS0−FSt)∑i=1n′PVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}V=NA(FS0​−FSt​)∑i=1n′​PVt,ti​ The swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is ∑i=1n′PVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975∑i=1n′​PVt,ti​= 0.990099 + 0.977876 = 1.967975 Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateV = (0.03 - 0.0112)1.967975 = 0.036998 The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 x 0.036998 = $1,849,897. From the perspective of the bank, the receive-floating party, the value of the swis -$1,849,897.不是receive float吗，那应该是（100+1.12)*0.990099-(3*0.990099+103*0.977876)吧？

2021-01-17 21:40 2 · 回答