NO.PZ2020021204000049
问题如下:
Suppose that the six-month Libor rate is 5%, the forward Libor rate for the period between 0.5 and 1.0 year is 5.6% and the forward Libor rate for the period between 1.0 and 1.5 years is 6.0. The two-year Libor swap rate is 5.7%. All risk-free rates are 4.5%. What is the forward Libor rate for the period between 1.5 and 2.0 years? All rates are expressed with semi-annual compounding.
选项:
解释:
A swap where 5.7% is paid and Libor is received is worth zero. Per 100 of principal, first FRA is worth:
= -0.342
The second FRA is worth:
= -0.048
The third FRA is worth:
= 0.14
If the required forward rate is R then:
- 0.342 - 0.048 + 0.140 = 0
This can be solved to give R = 0.0625. The forward rate for the period between 1.5 and 2.0 years is 6.25% (semiannually compounded).
假设本金100,每期固定coupon 2.85,那么:
2.85/(1+5%/2)+2.85/(1+5.6%/2) 2 +2.85/(1+6%/2) 3 +102.85/(1+X/2) 4 =100
倒算X,为什么不可以?