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yan · 2024年10月12日

为什么-4%,滞后就是receive?没看懂

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NO.PZ202312260100000503

问题如下:

At the first swap settlement date, Beryl Hedge Fund would:

选项:

A.receive $12,000,000. B.receive $24,000,000. C.pay $24,000,000.

解释:

On the first settlement date:

1. Beryl Hedge Fund would receive the agreed-upon floating interest rate in the swap contract and

2. Beryl Hedge Fund would pay any gains on the QQQ position or receive any negative returns on the QQQ position.

Notional amount of the swap = 40% of $500 million=$200 million

Floating interest rate that Beryl Hedge Fund will receive = $200 million × (4.50% – 0.50%) × 180 / 360 = $4,000,000

Portfolio value at the first settlement date is $480 million.

Portfolio return = (480 – 500)/100 = – 4%

Portfolio value decreased by 4% by the first settlement date, so Beryl Hedge Fund will receive 4% of the equity swap’s notional value= $200 million × 4% = $8 million = $8,000,000

Net amount received by Beryl Hedge Fund at the settlement date is = $4,000,000 + $8,000,000 = $12,000,000



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pzqa35 · 2024年10月12日

嗨,从没放弃的小努力你好:


题目中“Fisher decides to reduce 40% of the exposure to QQQ with an equity swap that is settled semi-annually, in which Beryl can receive either a fixed or a floating interest rate. ”这个人进入的是收到浮动利率,同时支付equity return的swap,现在equity return=-4%,说明支付的是-4%,那就是收到4%。

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