NO.PZ202108100100000306
问题如下:
Based on Exhibit 2, the value of the pay-fixed interest rate swap is closest to:
选项:
A.–JPY6,491,550.
–JPY2,980,500.
–JPY994,793.
解释:
B is correct.
The value of the pay-fixed interest rate swap is calculated as
Given that rates have declined since the inception of the swap, the value of the
pay-fixed, receive-floating position is currently a loss of JPY2,980,500
中文解析:
本题考察的是求利率互换的value,且是在互换节点的value。
可以使用重新定价法和画图法两种方法来求解。
上述使用的是重新定价法来求解,即先求出t时刻该互换的价格(固定利率),然后作差折现后得到t时刻的价值;
也可以使用课上老师讲解的画图法来解答:
支付固定收到浮动,画图:向上箭头表示收到,向下箭头表示付出。
则向上箭头=NP
向下箭头=C*(PV1 +PV2 +PV3 )+NP*PV3
其中NP=5 billion,C= 5 billion* 0.1%。
则t时刻的value=向上箭头-向下箭头=NP-C*(PV1 +PV2 +PV3 )+NP*PV3
带入数字即可计算结果为B选项
为何是:
向上箭头=NP
向下箭头=Coupon*(PV1 +PV2 +PV3 )+NP*PV3
而不是反过来?