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:
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
题里给的fixed rate 也没说是annualized fixed rate啊?一般只说fixed rate 不是应该assume是periodic fixed rate (在这个情况下就是180天的)吗?这如何区分这个fixed rate 是不是年化的??