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
请问这道题,站在90天时间点折算fixed的value时,要扣除90时间点的现金流,而只折算后面三笔的。那为什么计算Equity的现值时不扣除90时间点的现金流呢?按照我的思路,90时间点的正负两笔现金流net结算完,Equity的value是按100millin算的