问题如下图：
对应years to maturity的折现参数，0.25是距到期剩下0.25的时间，也就是在正向时间轴0.75的地方，即270天的折现因子，对吗？
选项：
A. 
B. 
C. 
解释：
xiaowan_品职助教 · 2020年10月27日
嗨，爱思考的PZer你好：
同学你好，
不是这样的，years to maturity指的是从现在开始，这个折现利率本身所覆盖的时间区间，这个maturity不是swap的maturity，
拿这道题来说，站在0.25的时间点，要从0.5折现，就用years to maturity为0.25的折现因子，因为时间间隔是0.25，以此类推，从0.75折到0.25就是用years to maturity为0.5的折现因子。
其实从大小关系上也可以看出，距离越长的时间折现因子应该是越小的。
-------------------------------加油吧，让我们一起遇见更好的自己！
NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。对于equity leg来说，我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 这里更准确的理解是否应该乘以B0.5、B0.75、B1折现到0时刻，然后整体再除以B0.25得到t=0.25时刻的收入现值？
NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。对于equity leg来说，我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 如题
NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。对于equity leg来说，我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 90时间点是在节点，可以求两个1）节点处CFs的（互换收益率）2）节点处的value（互换整体，bon分是折现（未来的现金流+NP））是这么理解吗？
NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。对于equity leg来说，我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 为什么需要用0.25、0.5和0.75这三笔，而不是使用0.5、0.75和1这三笔？
NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。对于equity leg来说，我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 最后的Valuefixeeg的90/360 这个90是指0-90天的90天还是90-180天的90天？这个公式最后+的那一部分是什么意思？