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%.
0.1375%.
0.2496%.
解释:
C is correct.
The equilibrium swap fixed rate for yen is calculated as
The yen present value factors are calculated as
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
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: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?