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S.com · 2021年06月22日

value的方向

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000051

问题如下：

Consider a currency swap where interest on British pounds at the rate of 3% is paid and interest on euros at 2% is received. The British pound principal is 1.0 million pounds and the euro principal is 1.1 million euros. The most recent exchange has just occurred and the interest is exchanged every six months. There are two years are remaining in the life of the swap. The current exchange rate is 1.15 euro/pound. The risk-free rates in pounds and euros are 2.5% and 1.5%. Value the swap by considering it as the difference between two bonds. All rates are compounded semi-annually.

选项：

解释：

The swap involves exchanging

0.5 x 0.03 x 1,000,000 = 15,000 pounds with

0.5 X 0.02 X 1,100,000 = 11,000 euros with a final exchange of principal.

The value of the British pound

bond in British pounds is

15,0001  +  0.5  X  0.025\frac{15,000}{1\;+\;0.5\;X\;0.025}+15,000(1  +  0.5  X  0.025)2\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^2}+15,000(1  +  0.5  X  0.025)3\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^3}+1,015,000(1  +  0.5  X  0.025)4\frac{1,015,000}{{(1\;+\;0.5\;X\;0.025)}^4}=1,009,695

The value of the euro bond in euros is

11,0001  +  0.5  X  0.015\frac{11,000}{1\;+\;0.5\;X\;0.015}+11,000(1  +  0.5  X  0.015)2\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^2}+11,000(1  +  0.5  X  0.015)3\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^3}+1,111,000(1  +  0.5  X  0.015)4\frac{1,111,000}{{(1\;+\;0.5\;X\;0.015)}^4}=1,110,797

The value of the swap in British pounds is therefore

1,110,797 /1.15 - 1,009,695 = -43,785.

按照的对应汇率和币种折现都理解了，请问如何确认最后用哪个减哪个，能否画个图，麻烦了，谢谢

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已采纳答案

品职答疑小助手雍 · 2021年06月22日

嗨，从没放弃的小努力你好：


这个看题目条件，不需要画图的~

现在算出了欧元债价值是1110797欧元，英镑债是1009695英镑，题目第一句说了是收欧元付英镑的，所以就用欧元债减英镑债就得到swap的价值了。

按照当前汇率欧元债换算成英镑就是要1110797除以1.15，再减英镑债的价值就得到答案啦~

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