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Cooljas · 2024年05月12日

可以列一下解题步骤吗？为什么选B啊？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000164

问题如下：

A Mexican pharmaceutical producer enters into a swap agreement to hedge the interest rate risk of payments it will need to make every six months for the next two years. It agrees to pay 3% per year on a notional principal of MXN 100 million and receive 6-month LIBOR for two years at 6-month intervals. If the current 6-month LIBOR rate is 2.75% per year, and 6-month LIBOR in six months turns out to be 3.15% per year, what is the company’s cash flow from the payment occurring at the end of month 12?

选项：

A.

MXN 72,816

B.

MXN 75,000

C.

MXN 150,000

D.

MXN 200,000

解释：

可以列一下解题步骤吗？为什么选B啊？

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1 个答案

李坏_品职助教 · 2024年05月12日

嗨，努力学习的PZer你好：


本题里的这个人参与了一笔swap，每半年要完成下列现金流交换：支付年化利率3%(也就是每半年支付1.5%)的固定利率，同时收取Libor利率。


题目问你12个月之后的现金流是多少？那也就是第二次交换现金流了。

支付现金流 = 100 million * 3% / 2= 1.5 million，

收取现金流 = 100 million * 3.15% / 2 = 1.575 million, 注意题目给了两个Libor，但3.15%才是12个月交换现金流应该用的libor，而2.75%是6个月的时候用的。


收取现金流 - 支付现金流 = 0.075 million = 75000. 所以选B。

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