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Infinite · 2023年06月11日

不是很明白这道题的画图法

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。

valueequity=(101/100)×100,000,000=101,000,000{\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。

Valuefixedleg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{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

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?

2 个答案

Lucky_品职助教 · 2023年06月12日

嗨,爱思考的PZer你好:


不客气,加油~

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努力的时光都是限量版,加油!

Lucky_品职助教 · 2023年06月11日

嗨,努力学习的PZer你好:


years to maturity指的是从现在开始,这个折现利率本身所覆盖的时间区间,这个maturity不是swap的maturity,

拿这道题来说,站在0.25的时间点,要从0.5折现,就用years to maturity为0.25的折现因子,因为时间间隔是0.25,以此类推,从0.75折到0.25就是用years to maturity为0.5的折现因子。

其实从大小关系上也可以看出,距离越长的时间折现因子应该是越小的。

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努力的时光都是限量版,加油!

Infinite · 2023年06月12日

我明白了!!!!算的是剩余期限,0.5到0.25,脑袋秀逗了~~~谢谢

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2024-07-24 21:37 1 · 回答

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2024-04-16 10:09 1 · 回答

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2024-03-24 20:36 1 · 回答

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