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KellyBai · 2018年11月05日

问一道题:NO.PZ2016082402000064

老师好,

不明白什么叫做 “ market rate on three-year swaps at LIBOR is 7%"

是说第2年末的LIBOR 是 7%吗?

另外,ABC 违约,本金 $100 mil 不也会违约吗?(这里是不是我想错了,利率互换不换本金?求指正,谢谢)


问题如下图:

    

选项:

A.

B.

C.

D.

解释:



1 个答案

orange品职答疑助手 · 2018年11月05日

它说的是剩下来三年的浮动利率都是7%

ABC公司宣布违约后,这份互换就不存在了。现在要计算XYZ公司的损失。XYZ公司是付浮动收固定。因为现在ABC违约,为了计算损失,所以之后三年的浮动利率,都以现期的libor=7%来计算。那么,XYZ公司就本应该在每年年末赚到1million。     但是,因为ABC违约,所以这每年年末的1m都赚不到了。将其折现相加,就是它的损失之和

至于本金问题,这里不用考虑,因为利率互换通常是不交换本金的,只需要定期交换利息差额即可。

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NO.PZ2016082402000064 问题如下 Bank XYZ enters into a five-yeswcontrawith ACo. to pLIBOR in return for a fixe8% rate on a principof $100 million. Two years from now, the market rate on three-yeswaps LIBOR is 7%. this time ACo. clares bankruptanfaults on its swobligation. Assume ththe net payment is ma only the enof eayefor the swcontraperio Whis the market value of the loss incurreBank XYZ a result of the fault? A.$1.927 million B.$2.245 million C.$2.624 million $3.011 million ANSWER: CUsing Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}}V=∑i​ni​(1+Ri​)τi​Fi​−K​ for three remaining perio, we have the scountevalue of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m(8%−7%)×$100m=$1m scounte7%, whiis $934,579+$873,439+$816,298 = $2,624,316. use libor to scount, why not use the sigle scount rate? i rember ththe Libor is the single scount , so is 1+1.07 , an1+7%^2

2023-09-21 13:15 2 · 回答

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2023-03-07 14:48 1 · 回答

NO.PZ2016082402000064 老师,我是按照收到8%固定利率支出7%LIBOR来做的,虽然题目中说了ABC公司在第二年末违约了,但是从计算的角度来看违约产生的loss体现在哪里了呢?

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NO.PZ2016082402000064 看了之前老师的回复,关于为何使用7%而不是8%,老师说是8%是过去了。那如果是过去,那为何将来fault不能兑换的3年,还要用8%计算profit? 感谢回答。

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