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%.
互换的浮动利率题中没有说,只说到这家公司自己借款是libor+0.5%,怎么互换收到的利率是libor?题中说Assume that the spread above Libor at which the company borrows does not change,看上去收到的也是libor+0.5%呀,怎么理解