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逢考必过过过过过过 · 2022年08月11日

swap计算价值，当日有coupon，求value

问题如下：

A manger entered into a receive-fixed and pay-equity swap three months ago. The annualized fixed rate is 3% and equity index was at 100 when swap was entered. The maturity of swap is one year with quarterly reset, and notional amount is $100 million. The current spot rates are as follows:

Assume the equity index is currently trading at 101, the value of the swap is:

选项：

A.

320,450

B.

246,337

C.

-246,337

解释：

C is correct.

考点：equity swap求value.

解析：

首先画图：

一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。

对于equity leg来说，我们可以根据价格水平直接计算现在的value。

${\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000$

对于fixed leg来说，我们只用将三笔现金流折现即可。

$Value_{fixedleg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663$

Value of swap=-101,000,000+100,753,663=-246,337

老师我前两天问过一个类似的题目，但是当时因为做题做过去了，没及时问。类似于这个题，各种swap算价值的时候，如果这一天刚好应该是付息日，那么当天这一笔不用折现的coupon是默认已经支付了了吗？就像这个题目仅仅折算了后面三个Q，而三个月的利息也应该今天支付的吧？

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Lucky_品职助教 · 2022年08月11日

嗨，努力学习的PZer你好：

默认当天已经支付了哦，我们折现是折未来的现金流~

----------------------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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