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,and the annualized swap rate is 0.016792. 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.–$3,702,900.
–$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 × –0.0148116 = –$3,702,900
有几个点特别困惑,请老师帮助解答:
1、这个人付float,收fixed,所以最后计算value,方向应该是fixed rate - float rate吧
2、题目中说float按年pay,annualized swap rate is 0.016792. fixed rate计算出来按季度=0.0092.如果两者相减的话,为什么把float转化成0.008396呢?这明显是半年度的,也不是按季度呀。半年度的 float rate-季度fixed rate,这点我很困惑,一个是不匹配,一个是方向和我问题1中理解的也不一样
3、答案解析中的倒数第二步,(0.008396−0.009211)×(0.9945+0.9871+0.9728)=−0.002409 ,不太理解×(0.9945+0.9871+0.9728)这部分内容,乘以折现因子的和是什么意思呀老师,代表什么含义呢。按我的想法,应该是利率直接轧差乘以NP就可以了呀,为什么乘以这么多折现因子的和呢。
请老师解惑,谢谢。