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
如果按照答案的图,是往T=0.25的时刻折,就视为T=0,为什么要折T=0.25的如果是折T=0.25,应该是折倒真正的进入合约3个月前的T=0时点,向上箭头=C*去年化(B0.5+B0.75+B1)+NP*B1=101/100*NP 吗?