EQUITY SWAP课上说期末不交换本金，为啥PV固定端要计算期末本金折现？

NO.PZ202108100100000204 问题如下 From the bank’s perspective, using ta from Exhibits 4 an5, the fair value of the equity swis closest to: A.-$1,139,425. B.-$781,323. C.-$181,323. B is correct. The value of equity swtime t is calculateasVEQ,t=VFIX(C0)−(StSt−1)NAE−PV(Par−NAE)−PV(Par−NAE)V_{EQ,t}=V_{FIX}(C_0)-(\frac{S_t}{S_{t-1}})NA_E-PV(Par-NA_E)-PV(Par-NA_E)VEQ,t​=VFIX​(C0​)−(St−1​St​​)NAE​−PV(Par−NAE​)−PV(Par−NAE​)The swwinitiatesix months ago, so the first reset hnot yet passe thus, there are five remaining cash flows for this equity swap. The fair value of the swis terminecomparing the present value of the impliefixe rate bonwith the return on the equity inx. The fixeswrate of 2.00%, the swnotionamount of $20,000,000, anthe present value factors in Exhibit 5 result in a present value of the impliefixerate bons cash flows of $19,818,678:The value of the equity leg of the swis calculate(103/100)($20,000,000) = $20,600,000Note the swap’s notionamount anthe impliefixerate bons pvalue are both $20,000,000; therefore, the term – PV(P– N) reces to zero.The swwsigneto profit if rates fell or equities cline Neither happene so the swvalue will negative for the bank. The fair value of the equity swap, from the perspective of the bank (receive-fixe pay-equity party) is calculateasVEQ = $19,818,678 - $20,600,000 = -$781,322中文解析本题考察的是equity swap的估值。这里的头寸是收固定付equity return。因此在t时刻的value，即为互换中隐含的固定利率债券在t时刻的价值-权益端在t时刻的价值。需要注意权益端价值的计算为 (103/100)($20,000,000) = $20,600,000。

NO.PZ202108100100000204问题如下 From the bank’s perspective, using ta from Exhibits 4 an5, the fair value of the equity swis closest to: A.-$1,139,425.B.-$781,323.C.-$181,323. B is correct. The value of equity swtime t is calculateasVEQ,t=VFIX(C0)−(StSt−1)NAE−PV(Par−NAE)−PV(Par−NAE)V_{EQ,t}=V_{FIX}(C_0)-(\frac{S_t}{S_{t-1}})NA_E-PV(Par-NA_E)-PV(Par-NA_E)VEQ,t​=VFIX​(C0​)−(St−1​St​​)NAE​−PV(Par−NAE​)−PV(Par−NAE​)The swwinitiatesix months ago, so the first reset hnot yet passe thus, there are five remaining cash flows for this equity swap. The fair value of the swis terminecomparing the present value of the impliefixe rate bonwith the return on the equity inx. The fixeswrate of 2.00%, the swnotionamount of $20,000,000, anthe present value factors in Exhibit 5 result in a present value of the impliefixerate bons cash flows of $19,818,678:The value of the equity leg of the swis calculate(103/100)($20,000,000) = $20,600,000Note the swap’s notionamount anthe impliefixerate bons pvalue are both $20,000,000; therefore, the term – PV(P– N) reces to zero.The swwsigneto profit if rates fell or equities cline Neither happene so the swvalue will negative for the bank. The fair value of the equity swap, from the perspective of the bank (receive-fixe pay-equity party) is calculateasVEQ = $19,818,678 - $20,600,000 = -$781,322中文解析本题考察的是equity swap的估值。这里的头寸是收固定付equity return。因此在t时刻的value，即为互换中隐含的固定利率债券在t时刻的价值-权益端在t时刻的价值。需要注意权益端价值的计算为 (103/100)($20,000,000) = $20,600,000。 如题，请问这里C为什么不2%/2=1%?

NO.PZ202108100100000204 问题如下 From the bank’s perspective, using ta from Exhibits 4 an5, the fair value of the equity swis closest to: A.-$1,139,425. B.-$781,323. C.-$181,323. B is correct. The value of equity swtime t is calculateasVEQ,t=VFIX(C0)−(StSt−1)NAE−PV(Par−NAE)−PV(Par−NAE)V_{EQ,t}=V_{FIX}(C_0)-(\frac{S_t}{S_{t-1}})NA_E-PV(Par-NA_E)-PV(Par-NA_E)VEQ,t​=VFIX​(C0​)−(St−1​St​​)NAE​−PV(Par−NAE​)−PV(Par−NAE​)The swwinitiatesix months ago, so the first reset hnot yet passe thus, there are five remaining cash flows for this equity swap. The fair value of the swis terminecomparing the present value of the impliefixe rate bonwith the return on the equity inx. The fixeswrate of 2.00%, the swnotionamount of $20,000,000, anthe present value factors in Exhibit 5 result in a present value of the impliefixerate bons cash flows of $19,818,678:The value of the equity leg of the swis calculate(103/100)($20,000,000) = $20,600,000Note the swap’s notionamount anthe impliefixerate bons pvalue are both $20,000,000; therefore, the term – PV(P– N) reces to zero.The swwsigneto profit if rates fell or equities cline Neither happene so the swvalue will negative for the bank. The fair value of the equity swap, from the perspective of the bank (receive-fixe pay-equity party) is calculateasVEQ = $19,818,678 - $20,600,000 = -$781,322中文解析本题考察的是equity swap的估值。这里的头寸是收固定付equity return。因此在t时刻的value，即为互换中隐含的固定利率债券在t时刻的价值-权益端在t时刻的价值。需要注意权益端价值的计算为 (103/100)($20,000,000) = $20,600,000。 课程中讲的是equity swap的期初、末的本金不用互换，但题目中103/100 x NP和fix coupon折现时均考虑了本金折现

NO.PZ202108100100000204 问题如下 From the bank’s perspective, using ta from Exhibits 4 an5, the fair value of the equity swis closest to: A.-$1,139,425. B.-$781,323. C.-$181,323. B is correct. The value of equity swtime t is calculateasVEQ,t=VFIX(C0)−(StSt−1)NAE−PV(Par−NAE)−PV(Par−NAE)V_{EQ,t}=V_{FIX}(C_0)-(\frac{S_t}{S_{t-1}})NA_E-PV(Par-NA_E)-PV(Par-NA_E)VEQ,t​=VFIX​(C0​)−(St−1​St​​)NAE​−PV(Par−NAE​)−PV(Par−NAE​)The swwinitiatesix months ago, so the first reset hnot yet passe thus, there are five remaining cash flows for this equity swap. The fair value of the swis terminecomparing the present value of the impliefixe rate bonwith the return on the equity inx. The fixeswrate of 2.00%, the swnotionamount of $20,000,000, anthe present value factors in Exhibit 5 result in a present value of the impliefixerate bons cash flows of $19,818,678:The value of the equity leg of the swis calculate(103/100)($20,000,000) = $20,600,000Note the swap’s notionamount anthe impliefixerate bons pvalue are both $20,000,000; therefore, the term – PV(P– N) reces to zero.The swwsigneto profit if rates fell or equities cline Neither happene so the swvalue will negative for the bank. The fair value of the equity swap, from the perspective of the bank (receive-fixe pay-equity party) is calculateasVEQ = $19,818,678 - $20,600,000 = -$781,322中文解析本题考察的是equity swap的估值。这里的头寸是收固定付equity return。因此在t时刻的value，即为互换中隐含的固定利率债券在t时刻的价值-权益端在t时刻的价值。需要注意权益端价值的计算为 (103/100)($20,000,000) = $20,600,000。 想问下 这里为什么不需要计算t=0.5时刻的新swrate？然后新swrate和旧swrate做差算一个value？