折现因子-有问必答-品职教育专注CFA ESG FRM CPA 考研等财经培训课程

NO.PZ202108100100000202 问题如下 From the bank’s perspective, using ta from Exhibit 1, the current value of the swscribein Exhibit 2 is closest to: A.-$2,951,963. B.-$1,849,897. C.-$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixe(pfloating) party is calculateasV=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPViThe swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is∑i=1nPVi=0.990099+0.977876=1.967975\textstyle\sum_{i=1}^nPV_i=0.990099+0.977876=1.967975∑i=1nPVi=0.990099+0.977876=1.967975Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateasV = 1×(0.03 – 0.0112) x 1.967975 = 0.036998The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 × 0.036998 = $1,849,897.From the perspective of the bank, the pay-fixeparty, the value of the swis –$1,849,897. 中文解析本题是考察的是用重新定价法来求value。对于本题中付固定端的一方，在利率上升时会有收益。根据题干信息可知FS0=3%，即0时刻签订此合约，价格为3%，但过了一年后合约的价格为FS1=1.12%。即价格下跌了，因此会有损失，最后的结果为负。另外注意折现因子的选取要注意使用的是1年和2年的折现因子，因为此时站在t=1时刻，还有两笔互换要发生，分别是在一年以后和两年以后，因此折现因子的选取要注意。最后根据公式V=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPVi带入即可求得t=1时刻的价值。如题，用重新定价法，除了后两年的两笔NP*(1.12%-3%)*scount factor，时间点1应该也有(1.12%-3%)*NP现金流？为何不加入计算呢？

2023-08-24 14:39 1 · 回答

NO.PZ202108100100000202 问题如下 From the bank’s perspective, using ta from Exhibit 1, the current value of the swscribein Exhibit 2 is closest to: A.-$2,951,963. B.-$1,849,897. C.-$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixe(pfloating) party is calculateasV=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPViThe swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is∑i=1nPVi=0.990099+0.977876=1.967975\textstyle\sum_{i=1}^nPV_i=0.990099+0.977876=1.967975∑i=1nPVi=0.990099+0.977876=1.967975Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateasV = 1×(0.03 – 0.0112) x 1.967975 = 0.036998The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 × 0.036998 = $1,849,897.From the perspective of the bank, the pay-fixeparty, the value of the swis –$1,849,897. 中文解析本题是考察的是用重新定价法来求value。对于本题中付固定端的一方，在利率上升时会有收益。根据题干信息可知FS0=3%，即0时刻签订此合约，价格为3%，但过了一年后合约的价格为FS1=1.12%。即价格下跌了，因此会有损失，最后的结果为负。另外注意折现因子的选取要注意使用的是1年和2年的折现因子，因为此时站在t=1时刻，还有两笔互换要发生，分别是在一年以后和两年以后，因此折现因子的选取要注意。最后根据公式V=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPVi带入即可求得t=1时刻的价值。向上箭头为什么只有本金，没有1时间点的coupon？

2023-07-02 15:11 1 · 回答

NO.PZ202108100100000202问题如下 From the bank’s perspective, using ta from Exhibit 1, the current value of the swscribein Exhibit 2 is closest to: A.-$2,951,963.B.-$1,849,897.C.-$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixe(pfloating) party is calculateasV=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPViThe swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is∑i=1nPVi=0.990099+0.977876=1.967975\textstyle\sum_{i=1}^nPV_i=0.990099+0.977876=1.967975∑i=1nPVi=0.990099+0.977876=1.967975Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateasV = 1×(0.03 – 0.0112) x 1.967975 = 0.036998The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 × 0.036998 = $1,849,897.From the perspective of the bank, the pay-fixeparty, the value of the swis –$1,849,897. 中文解析本题是考察的是用重新定价法来求value。对于本题中付固定端的一方，在利率上升时会有收益。根据题干信息可知FS0=3%，即0时刻签订此合约，价格为3%，但过了一年后合约的价格为FS1=1.12%。即价格下跌了，因此会有损失，最后的结果为负。另外注意折现因子的选取要注意使用的是1年和2年的折现因子，因为此时站在t=1时刻，还有两笔互换要发生，分别是在一年以后和两年以后，因此折现因子的选取要注意。最后根据公式V=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPVi带入即可求得t=1时刻的价值。，经过一年，swrate 定价下行，我理解是折线因子变化导致的，为何还能用一年前的第一年和第二年的折现因子呢？我在这里纠结了很久

2023-06-20 12:19 1 · 回答

NO.PZ202108100100000202问题如下 From the bank’s perspective, using ta from Exhibit 1, the current value of the swscribein Exhibit 2 is closest to: A.-$2,951,963.B.-$1,849,897.C.-$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixe(pfloating) party is calculateasV=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPViThe swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is∑i=1nPVi=0.990099+0.977876=1.967975\textstyle\sum_{i=1}^nPV_i=0.990099+0.977876=1.967975∑i=1nPVi=0.990099+0.977876=1.967975Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateasV = 1×(0.03 – 0.0112) x 1.967975 = 0.036998The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 × 0.036998 = $1,849,897.From the perspective of the bank, the pay-fixeparty, the value of the swis –$1,849,897. 中文解析本题是考察的是用重新定价法来求value。对于本题中付固定端的一方，在利率上升时会有收益。根据题干信息可知FS0=3%，即0时刻签订此合约，价格为3%，但过了一年后合约的价格为FS1=1.12%。即价格下跌了，因此会有损失，最后的结果为负。另外注意折现因子的选取要注意使用的是1年和2年的折现因子，因为此时站在t=1时刻，还有两笔互换要发生，分别是在一年以后和两年以后，因此折现因子的选取要注意。最后根据公式V=NA×（FS0−FSt）×∑i=1nPViV=NA\times（FS_0-FS_t）\times{\textstyle\sum_{i=1}^n}PV_iV=NA×（FS0−FSt）×∑i=1nPVi带入即可求得t=1时刻的价值。 //////////////

2023-05-27 19:31 1 · 回答

折现因子

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