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NANK · 2023年06月18日

Equity swaps

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

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

1 个答案
已采纳答案

Lucky_品职助教 · 2023年06月19日

嗨,从没放弃的小努力你好:


是否考虑时点现金流,还有后续折现的现金流笔数,是看时点的价值是否反映在时点的价格里,

equity leg的价值是根据当前的股票价格来计算的,不受到之前现金流的影响。而fixed leg的价值则是计算未来的固定利率现金流的折现值,需要扣除已经发生的现金流,因为是quarterly reset,在90时点价格进行了重置,所以只折算后面三笔的。所以在计算fixed leg的价值时,只需要折算后面的三笔现金流即可,而不需要考虑90天时间点的现金流。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

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