NO.PZ2020021204000048
问题如下:
You are required to estimate the value of an overnight indexed swap that has three years left in its life and involves paying a fixed rate of 5% at the end of each quarter and receiving the rate implied by the overnight rate when it is compounded day-by-day during the quarter. The notional principal is USD 20 million. The current quote for a three-year overnight index swap is bid 3.80, ask 3.88. The risk-free rate is 3.6% for all maturities. All rates are compounded quarterly.
解释:
The swap rate is the average of 3.80 and 3.88, or 3.84%. The swap involves paying 5% when the market rate is 3.84%. The swaps value is the present value of:
0.25 X (0.0384 - 0.05) X USD 20,000,000 = -USO 58,000
on every payment date for the next three years.
Because the risk-free rate is 3.6%/4 = 0.9% per quarter, the value is
之前做过几道题都给了未来时间段的利率,本题浮动利率是用给出的报价估每一期的浮动利率,是因为没有给未来时段的浮动利率,所以用这个报价来估计的吗?