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掠世惊鸿 · 2022年02月16日

算swap的fix rate什么时候需要还原年化，什么时候不需要年化？

  1. CFA II
  2. Derivative

NO.PZ2019010402000060

问题如下：

The two-year Libor-based interest rate swap with semi-annual resets (30/360 day count). Based on the following information, the fixed rate of the swap is:

选项：

A.

2.4735%

B.

2.1659%

C.

4.3318%

解释：

C is correct

本题考察的是对利率互换进行定价。

∑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%

算swap的fix rate什么时候需要还原年化，什么时候不需要年化。？

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1 个答案

Lucky_品职助教 · 2022年02月16日

嗨，从没放弃的小努力你好：


如果单纯问fixed rate不需要年化。如果问题中带有swap比如本题的fixed rate of swap或swap fixed rate或swap rate则需要进行年化哦

----------------------------------------------
努力的时光都是限量版，加油！

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