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Fay · 2021年11月22日

为什么不考虑floating cf

* 问题详情,请 查看题干

NO.PZ201903040100000102

问题如下:

2.From the bank’s perspective, using data from Exhibit 1, the current value of the swap described in Exhibit 2 is closest to:

选项:

A.

-$2,951,963.

B.

-$1,849,897.

C.

-$1,943,000.

解释:

B is correct. The value of a swap from the perspective of the receive-fixed party is calculated as

V=NA(FS0FSt)i=1nPVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}

The swap has two years remaining until expiration. The sum of the present values for Years 1 and 2 is

i=1nPVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975

Given the current equilibrium two-year swap rate of 1.12% and the fixed swap rate at initiation of 3.00%, the swap value per dollar notional is calculated as

V = (0.03 - 0.0112)1.967975 = 0.036998

The current value of the swap, from the perspective of the receive-fixed party, is $50,000,000 x 0.036998 = $1,849,897.

From the perspective of the bank, as the receive-floating party, the value of the swap is -$1,849,897.

为什么向上箭头不是 本金+ f1 
1 个答案

lynn_品职助教 · 2021年11月22日

嗨,从没放弃的小努力你好:


浮动利息那边可以看成一个浮动利率债券,对于浮动利率债券,在每个coupon day 债券的价格都会回归面值1.所以只要是付息日,债券的价格都是1,即NP;而如果当前时刻不是付息日,那浮动债券的价格就是下一个coupon day 的价值=NP+下期coupon 再折现到当前时刻。

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