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miao999 · 2022年02月18日

为什么拿7%折现呢

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000064

问题如下：

Bank XYZ enters into a five-year swap contract with ABC Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time ABC Co. declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period. What is the market value of the loss incurred by Bank XYZ as a result of the default?

选项：

A.

$1.927 million

B.

$2.245 million

C.

$2.624 million

D.

$3.011 million

解释：

ANSWER: C

Using Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}} for three remaining periods, we have the discounted value of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m discounted at 7%, which is $934,579+$873,439+$816,298 = $2,624,316.

为什么拿7%折现


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DD仔_品职助教 · 2022年02月19日

嗨，爱思考的PZer你好：


swap rate是互换合同里的固定利率，也就是8%。

这里的7%是t=2时刻的时候的浮动利率，同时也是当时市场情况下的市场利率，站在t=2的时间点对未来现金流进行折现时我们要用当时的市场利率7%。

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DD仔_品职助教 · 2022年02月18日

嗨，努力学习的PZer你好：


同学你好，

因为我们现在已经站在了2时间点，想要衡量一下这个合同在未来三年带来的现金流折现到2时刻的价值，那么既然我们站在2时刻，就必须要用2时刻的市场利率7%来进行折现，8%已经是过去式了，只是在计算profit的时候会用到。

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加油吧，让我们一起遇见更好的自己！

miao999 · 2022年02月18日

你好，7%不是swap rate吗

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NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

2023-09-21 13:15 2 · 回答

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2023-03-07 14:48 1 · 回答

NO.PZ2016082402000064 老师，我是按照收到8%固定利率支出7%LIBOR来做的，虽然题目中说了ABC公司在第二年末违约了，但是从计算的角度来看违约产生的loss体现在哪里了呢？

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NO.PZ2016082402000064 看了之前老师的回复，关于为何使用7%而不是8%，老师说是8%是过去了。那如果是过去，那为何将来fault不能兑换的3年，还要用8%计算profit？ 感谢回答。

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