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哄哄 · 2023年04月21日

头寸方向判断

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。

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

对于fixed leg来说，我们只用将三笔现金流折现即可。

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

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）

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Lucky_品职助教 · 2023年04月23日

嗨，爱思考的PZer你好：

本题向上箭头是100,753,663，向下箭头是101,000,000，long的角度是246537，因此short的角度是-246537

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2024-07-24 21:37 1 · 回答

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