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