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游得过 · 2022年10月03日

能不能用画图法算一下呢

  1. CFA II
  2. Derivative

NO.PZ2019010402000061

问题如下：

Suppose one year ago we entered a €200,000,000 three-year receive-fixed Libor-based interest rate swap with semi-annual resets (30/360 day count). The fixed rate in the swap contract entered one year ago was 4.5%. The value for the party receiving the fixed rate is:

选项：

A.- €648,079.61 B.

€648,079.61

C.

- €548,068.57

解释：

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率：

∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value，对于fixed receiver：

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61

能不能用画图法算一下呢

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4 个答案

Lucky_品职助教 · 2023年07月24日

嗨，努力学习的PZer你好：


回复Lexizhu：选择题选个相近的答案即可，这道题根据正负号也很容易判断，选择解题重点在速度快，哪个方法用的顺就用哪个

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Lucky_品职助教 · 2023年03月25日

嗨，努力学习的PZer你好：


主要原因是重新定价法在算fixed swap rate = (1- 0.917431) / 3.812233=2.1659%的时候，保留了小数位数，而画图法没有，本金2亿，最终结果差距是千位数，是合理的~

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Lexizhu · 2023年07月23日

重新定价法和画图法差距这么大，那就是要优先用重新定价法吗？

Lucky_品职助教 · 2022年10月21日

嗨，努力学习的PZer你好：


折现因子保留了6位小数，后面的数字都省略了

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努力的时光都是限量版，加油！

Lucky_品职助教 · 2022年10月10日

嗨，爱思考的PZer你好：


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加油吧，让我们一起遇见更好的自己！

csspyj · 2022年10月20日

为什么说直接使用折现因子会有误差，按道理不是应该算出来一样吗

vivi文 · 2023年03月25日

同问

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