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 :
r=2.168%
Now, solve for DM:
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。。