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Lich · 2023年06月25日

没太懂这个题的意思

NO.PZ2022123002000065

问题如下:

Mamani informs AI's management that, as an alternative, it could enter into an interest rate swap to effectively convert its floating-rate loan to a fixed-rate loan. Mamani states, "You would take a position in a two-year swap with semiannual payments and a notional principal equal to your loan balance. You would pay a fixed rate equal to current two-year Libor and receive 180-day Libor."

Mamani's description of the interest rate swap to be used to convert AI's floating-rate loan to a fixed-rate loan is least likely correct regarding the:

选项:

A.

notional principal amount

B.

fixed interest rate to be paid

C.

floating interest rate to be received

解释:

Correct Answer: B

The fixed interest rate on the swap would not equal the Libor rate for the maturity of the swap but rather the rate that would make the present value of the fixed and floating payments equal.

没太懂这个题的意思麻烦老师解释一下

3 个答案
已采纳答案

pzqa31 · 2023年06月25日

嗨,努力学习的PZer你好:


这道题的表述错在You would pay a fixed rate equal to current two-year Libor ,固定利率swap rate应该是未来一系列浮动利率的打包价,并不是等于现在的2年期Libor。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Lich · 2023年07月27日

还有一点想请问老师,题目中说把floating 转化成fixed,不是应该收固定付浮动么?为啥说receive 180-day libor呢

pzqa31 · 2023年07月27日

嗨,爱思考的PZer你好:


同学,我觉得不用想那么复杂,就是你原来支付一个浮动利率,现在要浮动换固定,变成支付固定的。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa31 · 2023年07月27日

嗨,从没放弃的小努力你好:


因为他是有一个浮动利率的贷款,也就是一开始是支付浮动的,所以浮动转固定的意思是,把支付浮动变成支付固定,可能是这个人预计未来利率会上涨,想把要支付的利率固定住。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Lich · 2023年07月27日

噢,您的意思是负债端floating,资产端收floating hedge这个风险的意思?

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