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。
对于fixed leg来说,我们只用将三笔现金流折现即可。
Value of swap=-101,000,000+100,753,663=-246,337
老师 我判断出来了是short,然后按照long的来算,金额是-246537,那short方不就应该是正的246537么?
(向上箭头是每期收到的利率100.753463,向下是整个101/100*100,向上—向下 Vlong等于-246537)