NO.PZ2023041003000023
问题如下：
Doyle asks Kemper to pricea one-year plain vanilla swap. The spot rates and days to maturity at eachpayment date are presented in Exhibit 1.
Exhibit 1 Selected US Spot Rate Data
Basedon Exhibit 1, the fixed rate of the one-year plain vanilla swap is closestto:
选项：
A.
0.12%.
B.
0.54%.
C.
0.72%.
解释：
The swap’s fixedrate is calculated as
90 − day PV factor= 1/[1 + 0.019 × (90/360)] = 0.9953.
180 − day PV factor= 1/[1 + 0.020 × (180/360)] = 0.9901
270 − day PVfactor = 1/[1 + 0.021 × (270/360)] = 0.9845.
360 − day PVfactor = 1/[1 + 0.022 × (360/360)] = 0.9785.
rFIX =(1 − 0.9785)/3.9484 = 0.0054 = 0.54%.
这道题给的spot rate 不是年化的利率吗，不需要将就比如，(1+1.9%/4)^0.25，这样计算吗
