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梦梦 · 2024年10月08日

libor为什么不用单利计算

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000164

问题如下：

A Mexican pharmaceutical producer enters into a swap agreement to hedge the interest rate risk of payments it will need to make every six months for the next two years. It agrees to pay 3% per year on a notional principal of MXN 100 million and receive 6-month LIBOR for two years at 6-month intervals. If the current 6-month LIBOR rate is 2.75% per year, and 6-month LIBOR in six months turns out to be 3.15% per year, what is the company’s cash flow from the payment occurring at the end of month 12?

选项：

A.

MXN 72,816

B.

MXN 75,000

C.

MXN 150,000

D.

MXN 200,000

解释：

老师，浮动利率部分利率是libor，为什么不用单利计算呢？

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1 个答案

李坏_品职助教 · 2024年10月09日

嗨，努力学习的PZer你好：


这个图里面写的就是单利计算啊。


年化Libor利率是3.15%，所以半年的浮动利息 = 100million*3.15% / 2 = 1.575 million。

而支付的固定利息 = 100million * 3% / 2 = 1.5million.


所以1.575 - 1.5 = 0.075million。选B。

----------------------------------------------
虽然现在很辛苦，但努力过的感觉真的很好，加油！

梦梦 · 2024年10月10日

等于我画的红框是也算上本金了，咱们算的直接是利息

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