开发者:上海品职教育科技有限公司隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

学习体验
App下载
手机上的品职教育

随时随地学习课程，支持音视频下载！
- 扫码下载品职教育APP
进入课程
登录 | 注册

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？

添加评论

0
0

1 个答案

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！

添加评论

0
0

1
回答
0
关注
316
浏览

我要回答关注问题

相关问题

NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 这里更准确的理解是否应该乘以B0.5、B0.75、B1折现到0时刻，然后整体再除以B0.25得到t=0.25时刻的收入现值？

2024-07-24 21:37 1 · 回答

NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 如题

2024-04-16 10:09 1 · 回答

NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 90时间点是在节点，可以求两个1）节点处CFs的（互换收益率）2）节点处的value（互换整体，bon分是折现（未来的现金流+NP））是这么理解吗？

2024-03-24 20:36 1 · 回答

NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 为什么需要用0.25、0.5和0.75这三笔，而不是使用0.5、0.75和1这三笔？

2023-11-11 11:29 1 · 回答

NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity=(101/100)×100,000,000=101,000,000对于fixeleg来说，我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=3%×(36090)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 最后的Valuefixeeg的90/360 这个90是指0-90天的90天还是90-180天的90天？这个公式最后+的那一部分是什么意思？

2023-11-03 00:04 1 · 回答