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如此_AnnieCcc · 2021年02月13日

老师。。。我真的反应不过来了

  1. CFA I
  2. Fixed Income

NO.PZ2018062006000081

问题如下：

There is a two-year FRN with quoted margin at 50 basis points and the reference rate is 6-month Libor. The current 6-month Libor is 1.2% which is supposed to be constant for the following 2 years and the floater is priced at 95 per 100 of par value. Please calculate the discount margin for the floater assuming a 30/360 day-count convention and evenly spaced periods.

选项：

A.

298 bps

B.

314 bps

C.

217 bps

解释：

B is correct.

First we need to calculate the interest payment each period:

{(6-month Libor+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85

then calculate the discount rate per period :

95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}

r=2.168%

Now, solve for DM:

1.2%+DM2=2.168%\frac{1.2\%+DM}2=2.168\%

DM = 3.14%

Now, solve for DM:

1.2

%

+

D

M

2

=

2.168

%

2


1.2%+DM

​=2.168%



我真的看不懂。。。我把iy算出来我就不知道怎么算dm了。。

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1 个答案

吴昊_品职助教 · 2021年02月13日

同学你好：

r=(1.2%+DM)/2

2.168%=(1.2%+DM)/2

2.168%×2=1.2%+DM

DM=2.168%×2-1.2%=3.14%

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