问一道题：NO.PZ2016082402000064

NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

NO.PZ2016082402000064问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault?A.$1.927 millionB.$2.245 millionC.$2.624 million$3.011 millionANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316.这道题可以画图解吗？为什么每次loss1%两年不应该就是20million吗

NO.PZ2016082402000064问题如下Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault?A.$1.927 millionB.$2.245 millionC.$2.624 million$3.011 millionANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316.101/1.07^3

NO.PZ2016082402000064 老师，我是按照收到8%固定利率支出7%LIBOR来做的，虽然题目中说了ABC公司在第二年末违约了，但是从计算的角度来看违约产生的loss体现在哪里了呢？

NO.PZ2016082402000064 看了之前老师的回复，关于为何使用7%而不是8%，老师说是8%是过去了。那如果是过去，那为何将来fault不能兑换的3年，还要用8%计算profit？ 感谢回答。