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🧸苏小糖yb💚 · 2023年11月15日

这个题能画个时间轴图吗

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000160

问题如下：

Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9 and 15 months. Spot LIBOR rates are as following: 3 months at 5.4%; 9 months at 5.6%; and 15 months at 5.8%. The LIBOR at the last payment date was 5.0%. Calculate the value of the swap to the fixed-rate receiver using the bond methodology.

选项：

A.

$6,077

B.

-$6,077

C.

-$5,077

D.

$5,077

解释：


特别对于浮动利率的支付 为什么要先一个Fv再折现回来 还要用3个月的Spot rate 感觉有点凌乱不太能理解

这道题能解释详细一些吗

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1 个答案

品职答疑小助手雍 · 2023年11月16日

同学你好，因为floating端当期的付息是期初确定的，在付息日时会回归面值，所以其实就是算了一个未来付息的金额，再用目前市场上实际的利率进行折现。只要记住1、浮动利率债券在每个付息日会回归面值；2、每期付的利息是由期初利率确定的 这两个点就可以理解浮动端value的计算了。

而固定端就是常规债券的折现。

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