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JiangHan · 2023年04月28日

计算器算出来与答案不一样

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000051

问题如下：

Consider a currency swap where interest on British pounds at the rate of 3% is paid and interest on euros at 2% is received. The British pound principal is 1.0 million pounds and the euro principal is 1.1 million euros. The most recent exchange has just occurred and the interest is exchanged every six months. There are two years are remaining in the life of the swap. The current exchange rate is 1.15 euro/pound. The risk-free rates in pounds and euros are 2.5% and 1.5%. Value the swap by considering it as the difference between two bonds. All rates are compounded semi-annually.

解释：

The swap involves exchanging

0.5 x 0.03 x 1,000,000 = 15,000 pounds with

0.5 X 0.02 X 1,100,000 = 11,000 euros with a final exchange of principal.

The value of the British pound

bond in British pounds is

15,0001  +  0.5  X  0.025\frac{15,000}{1\;+\;0.5\;X\;0.025}+15,000(1  +  0.5  X  0.025)2\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^2}+15,000(1  +  0.5  X  0.025)3\frac{15,000}{{(1\;+\;0.5\;X\;0.025)}^3}+1,015,000(1  +  0.5  X  0.025)4\frac{1,015,000}{{(1\;+\;0.5\;X\;0.025)}^4}=1,009,695

The value of the euro bond in euros is

11,0001  +  0.5  X  0.015\frac{11,000}{1\;+\;0.5\;X\;0.015}+11,000(1  +  0.5  X  0.015)2\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^2}+11,000(1  +  0.5  X  0.015)3\frac{11,000}{{(1\;+\;0.5\;X\;0.015)}^3}+1,111,000(1  +  0.5  X  0.015)4\frac{1,111,000}{{(1\;+\;0.5\;X\;0.015)}^4}=1,110,797

The value of the swap in British pounds is therefore

1,110,797 /1.15 - 1,009,695 = -43,785.

这个题我用计算机算出来的两个债券价格都不一样呢，计算器按了好多遍，第一个British bond 算出来是1059481，第二个euro也不一样，可以解释一下怎么输入的吗 我咋算都不对

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已采纳答案

pzqa27 · 2023年04月30日

嗨，爱思考的PZer你好：


IY写错了，你的机器是美国人造的，所以应该写1.25

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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！

JiangHan · 2023年04月30日

哦哦哦哦对对对 我懂啦 谢谢老师

JiangHan · 2023年04月30日

用这个计算器来算其他题都是对的，不知道这个为啥不行

pzqa27 · 2023年04月30日

嗨，从没放弃的小努力你好：


我按了后也是10096695，请对您的计算器进行清0操作，并且请仔细阅读说明书，确保复利模式是在期初而非期末，最后实在不行的话，请将您的每一步拍下来

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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！

JiangHan · 2023年04月30日

复利是在期初而不是期末是什么意思呢，swap的现金流不是发生在每一次期末吗，然后我把计算器由END调成了BGN，答案还是不行，我把我的过程拍给您

pzqa27 · 2023年04月29日

嗨，爱思考的PZer你好：


这个题解析计算是对的

请严格按如图所示输入

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努力的时光都是限量版，加油！

JiangHan · 2023年04月29日

老师 我又用计算器根据你写的按了三遍 真的不是这个值 是1059481.411，难道是我计算器的问题，可用来算别的题没有问题啊，您方便用计算器按一下试试看吗

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