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Emmmmmmmua · 2022年02月17日

swap收浮动

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000046

问题如下：

Suppose that the quotes for a five-year interest rate swap are bid 3.2,ask3.24 a company can borrow at Libor plus 50 basis points but wants to borrow for five years at a fixed rate. What swap should the company enter into? What rate of interest does the company end up borrowing at? (Assume that the spread above Libor at which the company borrows does not change.)

选项：

解释：

The company should arrange to pay fixed and receive floating to convert the floating-rate loan to a fixed-rate loan. It will accept the ask quote of 3.24. Its cash flows will be

• Pay 3.24%,

• Receive Libor, and

• Pay Libor + 0.5%.

These net to 3.74%.

swap合约里面默认收到的浮动就是Libor，不能是Libor +/- bp 吗？


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李坏_品职助教 · 2022年02月17日

嗨，努力学习的PZer你好：


对 一般默认就是libor 的浮动利率。


这道题可以看作公司已经借了libor + 0.5%，现在想把这个浮动利率转换为固定利率。所以Swap 应该是receive浮动+pay fixed.

公司的ask 是3.24%的利率，所以pay fixed这一块就是3.24%。


浮动利率方面，算上receive libor和pay libor + 0.5%，自后net 是3.74%的成本



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努力的时光都是限量版，加油！

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