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xyrg+ · 2023年01月26日

libor在此处怎么理解

  1. FRM I
  2. Financial Markets And Products

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

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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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