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Penny107 · 2021年12月20日

可以写一下画图法的步骤吗?

NO.PZ2019010402000061

问题如下:

Suppose one year ago we entered a €200,000,000 three-year receive-fixed Libor-based interest rate swap with semi-annual resets (30/360 day count). The fixed rate in the swap contract entered one year ago was 4.5%. The value for the party receiving the fixed rate is:

选项:

A. - €648,079.61

B.

€648,079.61

C.

- €548,068.57

解释:

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率:

i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value,对于fixed receiver:

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61

可以写一下画图法的步骤吗
4 个答案

Lucky_品职助教 · 2022年03月27日

嗨,从没放弃的小努力你好:


回复cindyfo同学:

老师讲解讲到过,我们所有的画图都是上减下,然后再根据long或short判断正负号,这样不容易搞混~

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努力的时光都是限量版,加油!

Lucky_品职助教 · 2022年02月11日

嗨,努力学习的PZer你好:


因为我们假设30/360 day count,而且直接使用的折现因子,会有一定误差。

考试临近,同学会解题思路,自己手动可以算出答案即可,不需要纠结答案完全对的上,考场上选一个最接近答案的即可,本题AC都是负的,我们算出来是正的,且与答案B接近,很容易做出选择~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

lynn_品职助教 · 2021年12月20日

嗨,从没放弃的小努力你好:


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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

JYJY · 2022年02月09日

那这样结果不就应该是641249?为什么答案是648079?

lynn_品职助教 · 2021年12月20日

嗨,从没放弃的小努力你好:


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加油吧,让我们一起遇见更好的自己!

cindyfo · 2022年03月27日

请问这里为什么是上减下?receiving fixed是否就意味着收钱、卖float,属于short方,是下减上?

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