问一道题：NO.PZ2016082402000064

问题如下：

Bank XYZ enters into a five-year swap contract with ABC Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time ABC Co. declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period. What is the market value of the loss incurred by Bank XYZ as a result of the default?

选项：

$1.927 million

$2.245 million

$2.624 million

$3.011 million

解释：

ANSWER: C

Using Equation: $V=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}$ for three remaining periods, we have the discounted value of the net interest payment, or $\;{(8\%-7\%)}\times\$100m=\$1m$ discounted at 7%, which is $934,579+$873,439+$816,298 = $2,624,316.

为什么用浮动折现不用固定折现

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小刘_品职助教 · 2020年05月06日

同学你好，

这道题是在用固定利率折现，

swap一般报价是用固定利率报价，最开始XYZ是pay float receive fix=8%；过了两年之后，市场的fix报价变成了fix=7%，可以这么理解，如果你两年前没有进入swap那你现在重新进入一个新的swap，你知道收到的fix=7%；但是因为你两年前进入了，所以你肯定是赚钱的，赚的就是8%-7%=1%这么多，那为什么用7%进行折现，是因为对于任意一个swap刚开始而言，他的价值肯定是等于0的，所以现在市场定义的合理利率就是7%。

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NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑ini(1+Ri)τiFi−K for three remaining perio, we have the scountevalue of the net interest payment, or (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

2023-09-21 13:15 2 · 回答

NO.PZ2016082402000064问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault?A.$1.927 millionB.$2.245 millionC.$2.624 million$3.011 millionANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑ini(1+Ri)τiFi−K for three remaining perio, we have the scountevalue of the net interest payment, or (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316.这道题可以画图解吗？为什么每次loss1%两年不应该就是20million吗

2023-04-03 10:13 1 · 回答

NO.PZ2016082402000064问题如下Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault?A.$1.927 millionB.$2.245 millionC.$2.624 million$3.011 millionANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑ini(1+Ri)τiFi−K for three remaining perio, we have the scountevalue of the net interest payment, or (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316.101/1.07^3

2023-03-07 14:48 1 · 回答

NO.PZ2016082402000064 老师，我是按照收到8%固定利率支出7%LIBOR来做的，虽然题目中说了ABC公司在第二年末违约了，但是从计算的角度来看违约产生的loss体现在哪里了呢？

2022-03-13 22:57 1 · 回答

NO.PZ2016082402000064 看了之前老师的回复，关于为何使用7%而不是8%，老师说是8%是过去了。那如果是过去，那为何将来fault不能兑换的3年，还要用8%计算profit？感谢回答。

2022-03-09 01:16 1 · 回答

问一道题：NO.PZ2016082402000064

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