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jacqie · 2022年05月26日

swap rate不是说用bid和ask的平均值么？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000045

问题如下：

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

选项：

解释：

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

• Receive 3.2%,

• Pay 4.2%, and

• Pay Libor.

These net to Libor plus 1 %.


为什么这道题不使用平均数？

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1 个答案

李坏_品职助教 · 2022年05月26日

嗨，努力学习的PZer你好：


这道题问的不是swap rate是多少，问的是这个公司可以用多少的浮动利率来借钱（公司希望把4.2%的固定利息成本转换为浮动利息成本）。


题干告诉你一个swap合约的bid是3.2%，意思是任何参与这个swap的人可以收到的固定利息是3.20%。


这个公司愿意支付的固定利息成本是4.2%，它希望通过Swap合约来把固定利息成本转换为浮动利息成本，可以签订swap合约：收取固定利息3.20%（bid），同时支付4.2%的固定利息+Libor，这样就等于是把原来的4.2%的固定利息转换为了Libor + 1%的浮动利息。

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