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jacqie · 2022年05月26日

为什么不用bid ask的平均数作为swap rate？

  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%.



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1 个答案

品职答疑小助手雍 · 2022年05月26日

同学你好， 你截图的讲义是因为理论解析的时候不可能分别那bid和ask两个rate去分别带入计算。

实际交易肯定按你能交易的利率（也就是bid or ask）来算，本题的swap是要付固定，所以当然要付ask的。

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