NO.PZ2018062006000081
问题如下:
There is a two-year FRN with quoted margin at 50 basis points and the reference rate is 6-month Libor. The current 6-month Libor is 1.2% which is supposed to be constant for the following 2 years and the floater is priced at 95 per 100 of par value. Please calculate the discount margin for the floater assuming a 30/360 day-count convention and evenly spaced periods.
选项:
A.298 bps
B.314 bps
C.217 bps
解释:
B is correct.
First we need to calculate the interest payment each period:
{(6-month Libor+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85
then calculate the discount rate per period :
r=2.168%
Now, solve for DM:
DM = 3.14%
考点:浮动利率债券
解析:知道浮动利率债券当前的债券价格和分子的Coupon rate,先反求出折现率,利用计算器:PV= -95,FV=100,PMT=0.85,N=4,得到I/Y=2.168
再利用折现率反求出discount margin:2.168%=(1.2%+DM)/2,求得DM=3.14%,故选项B正确。
题目只是给了6个月的libor, 哪里可以看出半年付息一次?