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苏皖W&W · 2024年04月21日

如何看出fix-float Swap

NO.PZ2023020101000016

问题如下：

Mehta, who is based in Hong Kong SAR and requires a €25,000,000 one-year bridge loan to fund operations in Germany. He wants to fund this loan at a competitive rate. Riley advises Mehta to borrow in HK dollars and enter into a one-year foreign currency swap to swap into euros. The current exchange rate is HK$9.15 per euro. Exhibit 1 below provides Hong Kong and euro spot interest rates and present value factors.

Exhibit 1: Hong Kong and Euro Spot Interest Rates

Based on the information in Exhibit 1, the annual fixed swap rate Mehta would pay is closest to：

选项：

A.

0.47%.

B.

0.92%.

C.

1.88%.

解释：

PV factors for Euro are provided along with an explanation of how they are calculated:

For example, PV(90) is calculated as follows:

$\frac1{1+0.00372\ast\frac{90}{360}}=0.9991$

Other present value factors are calculated in a similar manner.

The fixed rate is calculated as follows:

$\frac{1.0-0.9953}{0.9991+0.9979+0.9967+0.9953}=0.001178$

The annualized rate = 0.001178 × 4 = 0.004712.

汇率互换也可能是fix-fix Swap，题目中貌似没有说清楚

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李坏_品职助教 · 2024年04月22日

嗨，爱思考的PZer你好：

货币互换的定价目标都是只针对fixed rate进行定价。

因为不同币种的利率和swap rate之间是不会相互影响的，所以在currency swap里面，我们都是先按照利率互换的方法（即假定每一个币种都先跟各自的floating rate做一次互换），分别求出各自的swap rate，作为各自币种的公允定价。

所以港币的swap rate要用港币的spot rate来计算，欧元的swap rate要用欧元的spot rate来计算。

关于这个逻辑的讲解，同学可以听一下这部分视频 1.5倍速从16:45开始：

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加油吧，让我们一起遇见更好的自己！

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