开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

Pavel Korchagin · 2024年01月30日

怎么又用复利了?

NO.PZ2023020101000020

问题如下:

Mbali Ndlovu, a trader on Mafadi’s derivatives desk, works closely with Fourie to implement solutions for his clients. Ndlovu receives a request from Fourie to structure an OTC swap transaction for one of his clients. After reviewing the request, Ndlovu agrees to be the counterparty for a one-year swap on Tanzanite Resources (Tanzanite) stock in which the client is seeking to enter into a receive-equity returns and pay-fixed arrangement. Tanzanite does not pay a dividend. The swap is structured as a quarterly reset, 30/360 day count, with a notional value of ZAR 5,000,000. The fixed rate is 3.2% annually. Tanzanite has a return of –3.6% for the first quarter.

The cash flow to Ndlovu after the first quarter of the Tanzanite swap is closest to:

选项:

A.

ZAR219,529.

B.

–ZAR140,471.

C.

ZAR340,000.

解释:

The quarterly interest rate is calculated as [(1 + 3.2%)*(1/4)] – 1 = 0.0079, so the fixed cash flow

Ndlovu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return of the equity is negative,

so Ndlovu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 from the Tanzanite return.

Therefore, the net cash flow to Ndlovu is ZAR219,528.77 *(39,528.77 + 180,000.00).

课上都是单利,跟白学了一样

1 个答案

李坏_品职助教 · 2024年01月30日

嗨,从没放弃的小努力你好:


这道题用单利也是可以做的,不影响选出正确答案。


题目说的是一个equity swap,题目让计算的是The cash flow to Ndlovu (第一个季度)。


Cash flow是现金流。答案解析里面的[(1 + 3.2%)*(1/4)] – 1 = 0.0079,其实和你直接用单利的3.2% / 4 = 0.008是非常接近的。


如果按照单利的0.008来算,Ndlovu在这个equity swap里面的cash flow:

  1. Fixed Cash flow = ZAR5,000,000 *0.008 = ZAR40000;
  2. Equity cash flow = ZAR5,000,000 * 0.0360 = ZAR180,000;

二者相加 = 220000ZAR,和答案里面的219,528相差0.21%,也可以直接锁定选项A

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

  • 1

    回答
  • 0

    关注
  • 341

    浏览
相关问题

NO.PZ2023020101000020问题如下 Mbali Novu, a trar on Mafa’srivatives sk, works closely with Fourie to implement solutions for hisclients. Novu receives a request from Fourie to structure OTC swaptransaction for one of his clients. After reviewing the request, Novu agreesto the counterparty for a one-yeswon Tanzanite Resources (Tanzanite)stoin whithe client is seeking to enter into a receive-equity returns anay-fixearrangement. Tanzanite es not pa vin The swisstructurea quarterly reset, 30/360 y count, with a notionvalue of ZAR5,000,000. The fixerate is 3.2% annually. Tanzanite ha return of –3.6% forthe first quarter.The cash flow to Novu after the first quarter of the Tanzanite swisclosest to: A.ZAR219,529.B.–ZAR140,471.C.ZAR340,000. The quarterly interest rate is calculate[(1 + 3.2%)*(1/4)] – 1 =0.0079, so the fixecash flow Novu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return ofthe equity is negative, so Novu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 fromthe Tanzanite return. Therefore, the net cash flow to Novu is ZAR219,528.77 *(39,528.77 +180,000.00). 不理解题目中interest rate的计算方式,为什么不是NP*0.032*1/4 这么计算出Fixerate,而是题目中的方法?

2024-10-13 01:03 1 · 回答

NO.PZ2023020101000020 问题如下 Mbali Novu, a trar on Mafa’srivatives sk, works closely with Fourie to implement solutions for hisclients. Novu receives a request from Fourie to structure OTC swaptransaction for one of his clients. After reviewing the request, Novu agreesto the counterparty for a one-yeswon Tanzanite Resources (Tanzanite)stoin whithe client is seeking to enter into a receive-equity returns anay-fixearrangement. Tanzanite es not pa vin The swisstructurea quarterly reset, 30/360 y count, with a notionvalue of ZAR5,000,000. The fixerate is 3.2% annually. Tanzanite ha return of –3.6% forthe first quarter.The cash flow to Novu after the first quarter of the Tanzanite swisclosest to: A.ZAR219,529. B.–ZAR140,471. C.ZAR340,000. The quarterly interest rate is calculate[(1 + 3.2%)*(1/4)] – 1 =0.0079, so the fixecash flow Novu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return ofthe equity is negative, so Novu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 fromthe Tanzanite return. Therefore, the net cash flow to Novu is ZAR219,528.77 *(39,528.77 +180,000.00). receive-equity returns anpay-fixearrangement,题目不是这个意思吗?股票亏了等于还要支出的,就应该是-220000,而且swap不是都是单利吗

2024-08-21 22:35 1 · 回答

NO.PZ2023020101000020 问题如下 Mbali Novu, a trar on Mafa’srivatives sk, works closely with Fourie to implement solutions for hisclients. Novu receives a request from Fourie to structure OTC swaptransaction for one of his clients. After reviewing the request, Novu agreesto the counterparty for a one-yeswon Tanzanite Resources (Tanzanite)stoin whithe client is seeking to enter into a receive-equity returns anay-fixearrangement. Tanzanite es not pa vin The swisstructurea quarterly reset, 30/360 y count, with a notionvalue of ZAR5,000,000. The fixerate is 3.2% annually. Tanzanite ha return of –3.6% forthe first quarter.The cash flow to Novu after the first quarter of the Tanzanite swisclosest to: A.ZAR219,529. B.–ZAR140,471. C.ZAR340,000. The quarterly interest rate is calculate[(1 + 3.2%)*(1/4)] – 1 =0.0079, so the fixecash flow Novu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return ofthe equity is negative, so Novu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 fromthe Tanzanite return. Therefore, the net cash flow to Novu is ZAR219,528.77 *(39,528.77 +180,000.00). 老师,这道题给的fix rate annually 直接就是年化后的对么?我记得老师说如果fixerate 是未年化的?您能给我总结下,直接就是年化的fixerate 都会如何表达么?

2024-08-06 22:31 1 · 回答

NO.PZ2023020101000020 问题如下 Mbali Novu, a trar on Mafa’srivatives sk, works closely with Fourie to implement solutions for hisclients. Novu receives a request from Fourie to structure OTC swaptransaction for one of his clients. After reviewing the request, Novu agreesto the counterparty for a one-yeswon Tanzanite Resources (Tanzanite)stoin whithe client is seeking to enter into a receive-equity returns anay-fixearrangement. Tanzanite es not pa vin The swisstructurea quarterly reset, 30/360 y count, with a notionvalue of ZAR5,000,000. The fixerate is 3.2% annually. Tanzanite ha return of –3.6% forthe first quarter.The cash flow to Novu after the first quarter of the Tanzanite swisclosest to: A.ZAR219,529. B.–ZAR140,471. C.ZAR340,000. The quarterly interest rate is calculate[(1 + 3.2%)*(1/4)] – 1 =0.0079, so the fixecash flow Novu receives is ZAR5,000,000 *0.0079 = ZAR39,528.77. The return ofthe equity is negative, so Novu will also receive ZAR5,000,000 * 0.0360 = ZAR180,000.00 fromthe Tanzanite return. Therefore, the net cash flow to Novu is ZAR219,528.77 *(39,528.77 +180,000.00). 老师请问答案里面quarterly interest rate是为什么这样计算的呢,原理是什么?

2023-10-18 19:08 1 · 回答