NO.PZ2023020101000014
问题如下:
Whitney’s first meeting is with Novatel, a US based company that currently has an outstanding loan of $250,000,000 that carries a 5.15% fixed interest rate. Novatel’s managers feel that the current interest rate on the loan is high and they also believe that interest rates are poised to decline. Whitney advises Novatel to enter into a one-year pay-floating Libor receive-fixed interest rate swap with quarterly payments. The notional principal on the swap will be $250,000,000. Whitney’s first task is to determine the appropriate swap rate.
Using data in Exhibit 2 and a 30/360 day count, the market value of Novatel’s swap after 90 days is closest to:
选项:
A.–$602,250.
–$2,875,000.
C.
–$2,408,880.
解释:
The
present value factors for Exhibit 2 are provided below:
For example, PV(180) is calculated as:
Other present value factors are calculated
in a similar manner.
Using the fixed rate initially determined
for the swap and the current PV factors, the current value of the fixed bond
is:
Using an alternative approach, the new
fixed swap rate would be
And the value of the swap is the
difference between the value at the old rate and the value at the new rate, or
The swap value = $250,000,000 × –0.002409
= –$602,250
老师:1) 如果用向⬆️减向⬇️箭头= 这个浮动利率是等于f=[ 1+ 2.12%* (90/360)]* 0.994505 =1是浮动利率,对么?
2)C=0.008396(0.994505+0.987069+0.972786)+0.972786=0.99759 定价方式和 C= 1-Bn/(B1+B2+....+Bn) 有什么区别?