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?
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 %.
客户应该是采用3。24