开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)｜3.2.5(安卓)APP下载

返回

𝒜𝒩𝒥𝒜 安雅🎃 · 2023年06月19日

可以画利率互换的小图吗？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000046

问题如下：

Suppose that the quotes for a five-year interest rate swap are bid 3.2,ask3.24 a company can borrow at Libor plus 50 basis points but wants to borrow for five years at a fixed rate. What swap should the company enter into? What rate of interest does the company end up borrowing at? (Assume that the spread above Libor at which the company borrows does not change.)

选项：

解释：

The company should arrange to pay fixed and receive floating to convert the floating-rate loan to a fixed-rate loan. It will accept the ask quote of 3.24. Its cash flows will be

• Pay 3.24%,

• Receive Libor, and

• Pay Libor + 0.5%.

These net to 3.74%.

助教你好，请问你可以画个小图说明这题浮动利率和固定利率的方向吗？谢谢。

添加评论
1 个答案

DD仔_品职助教 · 2023年06月20日

嗨，爱思考的PZer你好：


同学你好，

具体请看下图：

----------------------------------------------
努力的时光都是限量版，加油！

  • 1

    回答

  • 0

    关注

  • 206

    浏览
相关问题

NO.PZ2020021204000046 问题如下 Suppose ththe quotes for a five-yeinterest rate sware bi3.2,ask3.24 a company cborrow Libor plus 50 basis points but wants to borrow for five years a fixerate. Whswshoulthe company enter into? Whrate of interest es the company enup borrowing at? (Assume ththe spreabove Libor whithe company borrows es not change.)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #464046}span.s1 {color: #4e586a}span.s2 {color: #324569} The company shoularrange to pfixeanreceive floating to convert the floating-rate loto a fixerate loan. It will accept the ask quote of 3.24. Its cash flows will be• P3.24%,• Receive Libor, an PLibor + 0.5%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #463f46}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #484042}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443e44}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #4b4246}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443f46}span.s1 {color: #324569}span.s2 {color: #4c5f}span.s3 {color: #6b554c}span.s4 {color: #0080aa}span.s5 {color: #3a4567}span.s6 {color: #77747b}These net to 3.74%.

2022-05-26 01:14 1 · 回答

NO.PZ2020021204000046 问题如下 Suppose ththe quotes for a five-yeinterest rate sware bi3.2,ask3.24 a company cborrow Libor plus 50 basis points but wants to borrow for five years a fixerate. Whswshoulthe company enter into? Whrate of interest es the company enup borrowing at? (Assume ththe spreabove Libor whithe company borrows es not change.)p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #464046}span.s1 {color: #4e586a}span.s2 {color: #324569} The company shoularrange to pfixeanreceive floating to convert the floating-rate loto a fixerate loan. It will accept the ask quote of 3.24. Its cash flows will be• P3.24%,• Receive Libor, an PLibor + 0.5%.p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #463f46}p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #484042}p.p3 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443e44}p.p4 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #4b4246}p.p5 {margin: 0.0px 0.0px 0.0px 0.0px; font: 8.5px Helveticcolor: #443f46}span.s1 {color: #324569}span.s2 {color: #4c5f}span.s3 {color: #6b554c}span.s4 {color: #0080aa}span.s5 {color: #3a4567}span.s6 {color: #77747b}These net to 3.74%. 互换的浮动利率题中没有说，只说到这家公司自己借款是libor+0.5%，怎么互换收到的利率是libor？题中说Assume ththe spreabove Libor whithe company borrows es not change，看上去收到的也是libor+0.5%呀，怎么理解

2022-05-26 00:48 1 · 回答

NO.PZ2020021204000046 swap合约里面默认收到的浮动就是Libor，不能是Libor +/- 吗？

2022-02-17 10:57 1 · 回答

NO.PZ2020021204000046 这道理我理解是根据协议公司可以按L+50bp借浮动，而公司实际想借固定，所以发生swap。在swap的步骤是先按L+50bp付浮动再按3.2收固定，还的时候反向操作是L+50BP收浮动，再按3.24付固定。最终成本是0.04%.请问老师我错在那步，答案的Receive Libor是在哪步发生的？

2021-09-17 14:46 1 · 回答