NO.PZ2018113001000028
问题如下：
A company issues a leveraged floating-rate note that pays a coupon of 1.5 times Libor on notional principle of $1 million. It uses the proceeds to buy a fixed-rate bond with coupon rate of 6%. In order to hedge the floating payments risk, the company enters into a swap with a fixed rate of 5% and a floating rate of 1.5 times Libor. Calculate the net profit of these transactions.
选项：
A.$20,000
B.$10,000
C.$15,000
解释：
B is correct.
考点：Leveraged Floating-Rate Notes
解析：
总头寸有三个：
1. 发行了一个Leveraged floating-rate note: 支付1.5 * L *NP=1.5*libor*1million利息，收到本金1million
2. 用收到的1million来购买了Fixed rate bond: 收到6% * NP=6%*1million的利息
3. Swap: 为了抵消付浮动的头寸，应该进入收浮动（1.5*libor）、付固定（5%）的swap，名义本金为1million
净收益=
-（1.5*libor*1million）+ 6%*1million + （1.5*libor*1million -5%*1million ）
=1%*1million
=$10,000
基础班讲义有这个知识点吗？
