开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

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

添加评论
1 个答案
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~

----------------------------------------------
加油吧，让我们一起遇见更好的自己！

  • 1

    回答

  • 0

    关注

  • 455

    浏览
相关问题

NO.PZ2020021204000051问题如下 Consir a currenswwhere interest on British poun the rate of 3% is paianinterest on euros 2% is receive The British pounprincipis 1.0 million poun anthe euro principis 1.1 million euros. The most recent exchange hjust occurreanthe interest is exchangeevery six months. There are two years are remaining in the life of the swap. The current exchange rate is 1.15 euro/poun The risk-free rates in poun aneuros are 2.5% an1.5%. Value the swconsiring it the fferenbetween two bon. All rates are compounsemi-annually.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #453f46}span.s1 {color: #4768}span.s2 {color: #324569}span.s3 {color: #67544c}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #454047}span.s1 {color: #66534b}span.s2 {color: #4663}The swinvolves exchanging0.5 x 0.03 x 1,000,000 = 15,000 poun with0.5 X 0.02 X 1,100,000 = 11,000 euros with a finexchange of principal. The value of the British poun.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #473f45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #474048}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4536}span.s1 {color: #6b554c}span.s2 {color: #4b6f}span.s3 {color: #3a4567}span.s4 {color: #67524b}bonin British poun is15,0001  +  0.5  X  0.025\frac{15,000}{1\;+\;0.5\;X\;0.025}1+0.5X0.02515,000​+15,000(1  +  0.5  X  0.025)2\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^2}(1+0.5X0.025)215,000​+15,000(1  +  0.5  X  0.025)3\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^3}(1+0.5X0.025)315,000​+1,015,000(1  +  0.5  X  0.025)4\frac{1,015,000}{{(1\;+\;0.5\;X\;0.025)}^4}(1+0.5X0.025)41,015,000​=1,009,695p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4434}The value of the euro bonin euros is11,0001  +  0.5  X  0.015\frac{11,000}{1\;+\;0.5\;X\;0.015}1+0.5X0.01511,000​+11,000(1  +  0.5  X  0.015)2\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^2}(1+0.5X0.015)211,000​+11,000(1  +  0.5  X  0.015)3\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^3}(1+0.5X0.015)311,000​+1,111,000(1  +  0.5  X  0.015)4\frac{1,111,000}{{(1\;+\;0.5\;X\;0.015)}^4}(1+0.5X0.015)41,111,000​=1,110,797The value of the swin British poun is thereforep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4534}span.s1 {color: #485669}span.s2 {color: #7b797span.s3 {color: #6b6b67}1,110,797 /1.15 - 1,009,695 = -43,785.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #443c44}span.s1 {color: #435263}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #454045}这个题我用计算机算出来的两个债券价格都不一样呢，计算器按了好多遍，第一个British bon算出来是1059481，第二个euro也不一样，可以一下怎么输入的吗 我咋算都不对

2023-04-28 19:18 4 · 回答

NO.PZ2020021204000051问题如下Consir a currenswwhere interest on British poun the rate of 3% is paianinterest on euros 2% is receive The British pounprincipis 1.0 million poun anthe euro principis 1.1 million euros. The most recent exchange hjust occurreanthe interest is exchangeevery six months. There are two years are remaining in the life of the swap. The current exchange rate is 1.15 euro/poun The risk-free rates in poun aneuros are 2.5% an1.5%. Value the swconsiring it the fferenbetween two bon. All rates are compounsemi-annually.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #453f46}span.s1 {color: #4768}span.s2 {color: #324569}span.s3 {color: #67544c}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #454047}span.s1 {color: #66534b}span.s2 {color: #4663}The swinvolves exchanging0.5 x 0.03 x 1,000,000 = 15,000 poun with0.5 X 0.02 X 1,100,000 = 11,000 euros with a finexchange of principal. The value of the British poun.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #473f45}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #474048}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4536}span.s1 {color: #6b554c}span.s2 {color: #4b6f}span.s3 {color: #3a4567}span.s4 {color: #67524b}bonin British poun is15,0001  +  0.5  X  0.025\frac{15,000}{1\;+\;0.5\;X\;0.025}1+0.5X0.02515,000​+15,000(1  +  0.5  X  0.025)2\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^2}(1+0.5X0.025)215,000​+15,000(1  +  0.5  X  0.025)3\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^3}(1+0.5X0.025)315,000​+1,015,000(1  +  0.5  X  0.025)4\frac{1,015,000}{{(1\;+\;0.5\;X\;0.025)}^4}(1+0.5X0.025)41,015,000​=1,009,695p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4434}The value of the euro bonin euros is11,0001  +  0.5  X  0.015\frac{11,000}{1\;+\;0.5\;X\;0.015}1+0.5X0.01511,000​+11,000(1  +  0.5  X  0.015)2\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^2}(1+0.5X0.015)211,000​+11,000(1  +  0.5  X  0.015)3\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^3}(1+0.5X0.015)311,000​+1,111,000(1  +  0.5  X  0.015)4\frac{1,111,000}{{(1\;+\;0.5\;X\;0.015)}^4}(1+0.5X0.015)41,111,000​=1,110,797The value of the swin British poun is thereforep.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #4534}span.s1 {color: #485669}span.s2 {color: #7b797span.s3 {color: #6b6b67}1,110,797 /1.15 - 1,009,695 = -43,785.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #443c44}span.s1 {color: #435263}p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 9.5px Helveticcolor: #454045}不是euro/poun1.15吗

2023-03-07 14:22 1 · 回答

NO.PZ2020021204000051 最后答案把英镑换成欧元，按欧元计价可以吗

2022-02-18 10:05 1 · 回答

NO.PZ2020021204000051 老师上课的时候总结了4中复利方法，这四种复利方法分别会对应哪种问法呀？1.LIBOR。2.Rf（年复利）。3.Rf（BonSport rate).4.Rf连续复利。就是在题目中分别看到什么可以对应这4种方法啊？这道题我以为是用年复利的方法，结果是BonSR的。特别晕！

2021-04-07 21:37 1 · 回答