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大瓶子 · 2023年09月10日

此题不理解,请老师讲解一下,谢谢。

NO.PZ2023040401000071

问题如下:

QWR enters a 5-year interest rate swap in which QWR pays the fixed rate of 3% for the first semiannual period and receives an initial six-month MRR of 2.65%. Based on the information above, which of the following statements is true?

选项:

A.

Three months after the inception of the trade, QWR has an MTM loss on the swap, because it owes a net settlement payment to its counterparty.

B.

Three months after the inception of the trade, QWR has an MTM gain on the swap, because after the first known net payment to its counterparty, the remainder of the future cash flows must have a positive present value from QWR's perspective.

C.

We do not have enough information to determine whether the swap has a positive or negative value from QWR's perspective after the inception of the trade.

解释:

The fixed interest rate is known, but the floating interest rate varies with the market and cannot be determined.

此题不理解,请老师讲解一下,谢谢。

1 个答案
已采纳答案

pzqa35 · 2023年09月11日

嗨,努力学习的PZer你好:


关于interest rate swap的估值问题,我们可以先看一下头寸,根据题意,他是pay fixed,所以是long方。我们知道他固定支付的是3%,浮动方第一期的收益是2.65%。那估值我们的基本思路就是把未来现金流折现到t时间点,然后用收入减去支出的。但是本题中并没有告诉我们未来的折现率情况,所以我们无法确定进行折现求价值,也就判断不了这个swap在三个月的价值情况。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!