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luojy · 2024年05月21日

现货端什么时候考虑什么时候不考虑？

  1. CFA III
  2. Derivative

* 问题详情，请 查看题干

NO.PZ202212300200004202

问题如下：

At the first swap settlement date, Pike would mostlikely:

选项：

A.

pay $36,000

B.

receive $67,500

C.

receive $103,500

解释：

Correct Answer: C

Portfolio declineis –2% = $3.6 million * –2% = – $72,000

Swap Settlement

Pike would receivethe negative returns on the portfolio in addition to the fixed interest rate of3.75% on a notional principal of $1.8 million.

Negative return on50% of the portfolio = 0.5 * $3.6 million * 2% = $36,000. (Pike will receivethe negative performance on the portfolio.)

Fixed return of3.75% on 50% of the portfolio = 0.5 * $3.6 million * 3.75% = $67,500. (Pikewill receive the fixed interest payment on the swap.)

Net payment on theswap that Pike will receive = $36,000 + $67,500 = $103,500.

老师，这里想问下，为什么不考虑现货端的部分（如图画圈的部分）？有些题目是现货端也要考虑，有些又不用考虑，我应该怎样区分哪些问法是需要考虑现货端哪些不需要考虑？

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1 个答案

pzqa31 · 2024年05月22日

嗨，爱思考的PZer你好：


这个要看具体题目要求，不能一概而论，所以咱们一定要注意认真审题，比如这里问的是 first swap settlement date,也就是只考虑swap头寸哈。

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答案有误，按照解析应该是semi

2024-07-24 14:43 1 · 回答

NO.PZ202212300200004202问题如下 the first swsettlement te, Pike woulmostlikely: A.p$36,000B.receive $67,500C.receive $103,500 CorreAnswer: CPortfolio clineis –2% = $3.6 million * –2% = – $72,000SwSettlementPike woulreceivethe negative returns on the portfolio in aition to the fixeinterest rate of3.75% on a notionprincipof $1.8 million.Negative return on50% of the portfolio = 0.5 * $3.6 million * 2% = $36,000. (Pike will receivethe negative performanon the portfolio.)Fixereturn of3.75% on 50% of the portfolio = 0.5 * $3.6 million * 3.75% = $67,500. (Pikewill receive the fixeinterest payment on the swap.)Net payment on theswthPike will receive = $36,000 + $67,500 = $103,500. 1.想问问这是哪个知识点。2.为什么equity是付2%？

2024-01-23 23:00 1 · 回答

NO.PZ202212300200004202 问题如下 the first swsettlement te, Pike woulmostlikely: A.p$36,000 B.receive $67,500 C.receive $103,500 CorreAnswer: CPortfolio clineis –2% = $3.6 million * –2% = – $72,000SwSettlementPike woulreceivethe negative returns on the portfolio in aition to the fixeinterest rate of3.75% on a notionprincipof $1.8 million.Negative return on50% of the portfolio = 0.5 * $3.6 million * 2% = $36,000. (Pike will receivethe negative performanon the portfolio.)Fixereturn of3.75% on 50% of the portfolio = 0.5 * $3.6 million * 3.75% = $67,500. (Pikewill receive the fixeinterest payment on the swap.)Net payment on theswthPike will receive = $36,000 + $67,500 = $103,500. 在sw中pnegative equity return不应该是加上吗？

2023-02-12 23:29 1 · 回答