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上小学 · 2023年02月22日

Bid. 是买入浮动利率的价格,本题中客户需要付浮动收固定,因此为何是以3·2做互换呢?

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

1 个答案

pzqa27 · 2023年02月22日

嗨,从没放弃的小努力你好:


bid ask 都在站在做市商的角度说的,这个是金融界约定俗成没有道理可以讲的。所以站在做市商角度的bid 就是站在客户角度的ask,这个客户相当于要把固定利率卖出去,所以ask的价格就是做市商bid的价格3.2%

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JiangHan · 2023年04月24日

老师,我感觉这个解释反了,客户应该是想付浮动收固定,所以是想把浮动利率卖出,买入固定利率,所以对bank来说,是卖出,应该是ask price,对客户来说,是买入,应该是bid price, 所以为啥是3.2啊 不理解

JiangHan · 2023年04月24日

我懂啦老师 不用解释啦 我理解反了

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