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王昕彤 · 2023年02月22日

如题

NO.PZ2019010402000011

问题如下:

A manger entered into a receive-fixed and pay-equity swap three months ago. The annualized fixed rate is 3% and equity index was at 100 when swap was entered. The maturity of swap is one year with quarterly reset, and notional amount is $100 million. The current spot rates are as follows:

Assume the equity index is currently trading at 101, the value of the swap is:

选项:

A.

320,450

B.

246,337

C.

-246,337

解释:

C is correct.

考点:equity swap求value.

解析:

首先画图:

一年期的swap,3个月之前进入的,所以时间轴如下,还剩3笔现金流。

对于equity leg来说,我们可以根据价格水平直接计算现在的value。

valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000

对于fixed leg来说,我们只用将三笔现金流折现即可。

Valuefixedleg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixedleg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663

Value of swap=-101,000,000+100,753,663=-246,337

老师,为什么equity 不用之后的三个时间点分别折现求出value呢

1 个答案

Lucky_品职助教 · 2023年02月22日

嗨,努力学习的PZer你好:


本题是站在0.5时点求value,equity value就是股价*数量,根据题目已知条件"Assume the equity index is currently trading at 101",value就是101,000,000,无需折现哦

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 C is correct.考点equity swap求value.解析首先画图一年期的swap,3个月之前进入的,所以时间轴如下,还剩3笔现金流。对于equity leg来说,我们可以根据价格水平直接计算现在的value。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity​=(101/100)×100,000,000=101,000,000对于fixeleg来说,我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=​3%×(36090​)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 这里更准确的理解是否应该乘以B0.5、B0.75、B1折现到0时刻,然后整体再除以B0.25得到t=0.25时刻的收入现值?

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