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台风来了 · 2023年08月15日

哪里能看出来题目中的利率是季度利率,而不是年利率?

NO.PZ2023041003000024

问题如下:

One of the banks investments is exposed to movements in the Japanese yen, and Johnson desires to hedge the currency exposure. She prices a one-year fixed-for-fixed currency swap involving yen and US dollars, with a quarterly reset. Johnson uses the interest rate data presented in Exhibit 3 to price the currency swap.

Exhibit 3 Selected Japanese and US Interest Rate Data

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:

The equilibrium swap fixed rate for yen is calculated as


The yen present value factors are calculated as


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

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

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

l 360-day PV factor =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%.

老师,您好!

题目中哪里强调了这些利率是季度利率,而不是年利率呢?如下图一样,



图中的题目答案是B,也没有额外进行年化,因为计算过程中就已经是年化的方式了。

回到本题,如果强调了是季度利率,那么额外进行年化没问题。但是没看出来哪里强调过,没有额外强调则默认理解为年化利率才对,也就无需再年化了。麻烦老师解释一下,谢谢!

1 个答案

Lucky_品职助教 · 2023年08月16日

嗨,爱思考的PZer你好:


with a quarterly reset ,本题默认给的是年化利率,前面算折现系数的时候是去年化了的,除以360乘以90,所以最后要除以90乘以360

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虽然现在很辛苦,但努力过的感觉真的很好,加油!