开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

大白 · 2022年03月24日

不清楚年化时间段

  1. CFA II
  2. Derivative

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

最后一步重新定价法求value的时候 为什么要乘以180/360

添加评论
1 个答案

Lucky_品职助教 · 2022年03月26日

嗨，爱思考的PZer你好：


题干说了semi-annual resets，也就是每半年结算支付一次

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

  • 1

    回答

  • 0

    关注

  • 389

    浏览
相关问题

NO.PZ2019010402000061 问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61 B.€648,079.61 C.- €548,068.57 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∑i=1n​PVi​(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61

2024-07-16 17:10 1 · 回答

NO.PZ2019010402000061问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61B.€648,079.61C.- €548,068.57 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∑i=1n​PVi​(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61 请问如何判断正负? 我理解是作为fixereceiver 一年前定价4.5相当于收到4.5,现在重新定价4.33 ，收到少了，所以是亏了，请问哪里不对呢？

2024-04-11 22:47 1 · 回答

NO.PZ2019010402000061问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61B.€648,079.61C.- €548,068.57 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∑i=1n​PVi​(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61 画图法能做吗，能不能画一下，我算的和答案有出入

2024-04-04 20:00 1 · 回答

NO.PZ2019010402000061 问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61 B.€648,079.61 C.- €548,068.57 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∑i=1n​PVi​(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61 如果是问paying party value 是否答案就是直接加负号

2024-03-24 13:34 1 · 回答

NO.PZ2019010402000061 问题如下 Suppose one yeago we enterea€200,000,000 three-yereceive-fixeLibor-baseinterest rate swwithsemi-annuresets (30/360 y count). The fixerate in the swcontractentereone yeago w4.5%. The value for the party receiving the fixerateis: A.- €648,079.61 B.€648,079.61 C.- €548,068.57 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∑i=1n​PVi​(1)=0.985222+0.966184+0.943396+0.917431=3.812233fixeswrate = (1- 0.917431) / 3.812233=2.1659%annulize 2.1659% * 360/180 = 4.3318%然后计算value，对于fixereceiverV= (0.045 - 0.0433)×(180/360)×3.812233×200,000,000 = €648,079.61 为什么是0.045-0.043348？为什么不是反过来？我方向算反了

2023-10-23 10:02 1 · 回答