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YolandaQ · 2023年07月22日

bid ask的理解搞不懂

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000045

问题如下：

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

解释：

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

• Receive 3.2%,

• Pay 4.2%, and

• Pay Libor.

These net to Libor plus 1 %.

在这里bid是指什么，怎么知道选3.2还是3.24

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品职答疑小助手雍 · 2023年07月22日

同学你好，永远记住和broker做生意，选自己亏的报价就可以了，本题公司想把自己目前付出的固定利率债换成浮动利率，那就要在swap里收固定付浮动，那就只能收少的钱，也就是3.2%，而不是3.24%。

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