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xyrg+ · 2023年01月26日

libor在此处怎么理解

NO.PZ2020021204000045

问题如下:

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

选项:

解释:

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

Receive 3.2%,

Pay 4.2%, and

Pay Libor.

These net to Libor plus 1 %.

libor在此处怎么理解?是相当于浮动利率?但我记得之前定价的时候,是用libor当折现率的。libor的这两种使用是什么意思,没搞明白啊

1 个答案
已采纳答案

DD仔_品职助教 · 2023年01月26日

嗨,爱思考的PZer你好:


同学你好,

是的,浮动利率一般我们用的就是libor。

定价用libor折现,与这里支付libor不冲突的,这里是使用libor来作为计算现金流的利率,定价是用libor来作为折现率,不管是利率还是折现率,都是rate都是一个东西,只不过使用的时候站的角度不同。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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