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ruby5ltc · 2023年07月02日

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NO.PZ202108100100000203

问题如下:

Based on Exhibit 3, Johnson should determine that the annualized equilibrium fixed swap rate for Japanese yen is closest to:

选项:

A.

0.0624%.

B.

0.1375%.

C.

0.2496%.

解释:

C is correct.

The equilibrium swap fixed rate for yen is calculated as

rJPY=1PVn,JPY(1)i=14PVi,JPY(1)r_{JPY}=\frac{1-PV_{n,JPY}(1)}{\sum_{i=1}^4PV_{i,JPY}(1)}

The yen present value factors are calculated as

PV(1)i,JPY=11+Rspoti,JPY(NADiNTD)PV(1)_{i,JPY}=\frac1{1+R_{spot_{i,JPY}}({\displaystyle\frac{NAD_i}{NTD}})}

where

90-day PV factor =1/[1+0.0005(90/360)] = 0.999875.

180-day PV factor =1/[1+0.0010(180/360)] = 0.999500.

270-day PV factor =1/[ 1+0.0015(270/360)] = 0.998876.

360-day PV factor =1/[ 1+0.0025(360/360)] = 0.997506.

Sum of present value factors = 3.995757.

Therefore, the yen periodic rate is calculated as

rJPY=1PVn(1)i=14PVi(1)=10.9975063.995757=0.000624=0.0624%r_{JPY}=\frac{1-PV_n(1)}{\sum_{i=1}^4PV_i(1)}=\frac{1-0.997506}{3.995757}=0.000624=0.0624\%

The annualized rate is (360/90) times the periodic rate of 0.0624%, or 0.2496%.

中文解析:

本题考察的是货币互换求定价。货币换求定价和普通的利率互换求定价是一样的,都是根据公式:rJPY=1PVn,JPY(1)i=14PVi,JPY(1)r_{JPY}=\frac{1-PV_{n,JPY}(1)}{\sum_{i=1}^4PV_{i,JPY}(1)}来计算即可。

需要注意的是根据此公式求得的fixed rate需要年化后才是我们要求的swap rate。这里要和第(1)小问作一下区分。

题目问的是美元和日元的固定对固定的互换利率,为什么答案计算的是日元本身的固定对浮动利率?

2 个答案

Lucky_品职助教 · 2023年07月03日

嗨,努力学习的PZer你好:


货币互换是currency swap,利率互换是interest swap

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

Lucky_品职助教 · 2023年07月02日

嗨,从没放弃的小努力你好:


本题考察的是货币互换求定价。货币互换求定价和普通的利率互换求定价是一样的,题目问Johnson should determine that the annualized equilibrium fixed swap rate for Japanese yen is closest to: 因此我们求的是日元的固定利率

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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!

ruby5ltc · 2023年07月02日

如果问的是货币互换,该如何表述英文

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