NO.PZ2023091802000160
问题如下：
Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a remaining life of 15 months with pay dates at 3, 9 and 15 months. Spot LIBOR rates are as following: 3 months at 5.4%; 9 months at 5.6%; and 15 months at 5.8%. The LIBOR at the last payment date was 5.0%. Calculate the value of the swap to the fixed-rate receiver using the bond methodology.
选项：
A.
$6,077
B.
-$6,077
C.
-$5,077
D.
$5,077
解释：
老师，1、题目给的spot libor 不是即期利率吗？我理解spot libor 3个月是站在现在，3个月的利率是5.4%，9个月是站在现在5.6%，也就是0到9月，15个月就是0到15月，但是，对于float来讲，9个月的节点利率应该是第3个月决定的，也就是应该是站在现在，3到9的远期利率啊，15个月的利率应该是在第9个月决定的，也就是站在现在，9到15的远期利率。我想的哪儿错了吗？
2、考试时，给的是libor也会明确说明折现方式吗？还是给的是libor就是用单利折现？
