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台风来了 · 2023年06月28日

关于本题的计算思路的疑问？

  1. CFA II
  2. Derivative

NO.PZ2019010402000061

问题如下：

Suppose one year ago we entered a €200,000,000 three-year receive-fixed Libor-based interest rate swap with semi-annual resets (30/360 day count). The fixed rate in the swap contract entered one year ago was 4.5%. The value for the party receiving the fixed rate is:

选项：

A.- €648,079.61 B.

€648,079.61

C.

- €548,068.57

解释：

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率：

∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value，对于fixed receiver：

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61

计算这个swap的价值，不是从收付的现金流折现的角度来看，计算这个swap的价值啊。恕我愚笨，没明白答案的计算过程中每一步都含义是什么？麻烦老师仔细讲解一下，谢谢！

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1 个答案

Lucky_品职助教 · 2023年07月01日

嗨，从没放弃的小努力你好：


这是我们基础班里的一道例题，同学可以再听一下老师的讲解哦

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

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