NO.PZ2018111302000065
问题如下:
The performance of a long position in an S&P GSCI total return swap having monthly resets and a notional amount of $50 million. Selected data on the S&P GSCI are presented in below table. On the June settlement date, the party that is long the S&P GSCI total return swap will:
选项:
A.pay a payment of $714,839.53.
B.receive a payment of $714,839.53.
C.pay a payment of $1,971,173.60.
解释:
B is correct.
考点:Commodity Swap 计算
解析:Total return swap总收益互换,双方应支付或收到的金额等于指数水平的变动乘以商品互换的名义数量。与超额收益互换的不同之处在于总收益互换包括指数价格的本金部分。如果在两个估值期间,指数增长了,那么互换的买方会收到卖方支付的金额,如果指数下降,互换卖方会收到买方支付的金额。
以六月的合约来看,指数的变动=(3,126.58-3,082.51)/3,082.51=1.4297%
收益的计算=指数的变动*互换的名义量=1.4297%*50,000,000=714,839.53
从题目的时间来看,互换指数从五月到六月是上涨的,那么买方将收到卖方支付的金额, 所以应该是receive,而不是pay,正确答案为B。
如题,谢谢