问题如下图：
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解释：
这个风险敞口为什么这么计算？利率互换的现金流是交换的利差，为什么计算的是债券的价值，最后那一年没有本金的现金流入啊
NO.PZ2016082406000048 Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. More intuitively, the sum of the coupon fferenis 3 times {(6%-4.75%)}\$100=$1.25 (6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting.
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 请问为什么是分子用6%，而分母用4.75%，为什么不是用6%折现，谢谢！
Assume tha bank enters into a US100 million, four-yeannual-pinterest rate swap, where the bank receives 6% fixeagainst 12-month LIBOR. Whiof the following numbers best approximates the current exposure the enof ye1 if the swrate clines 125 basis points over the year? US3,420,069 US4,458,300 US3,341,265 US4,331,382 ANSWER: A The value of the fixerate bonis 6(1+4.75%)1+ 6(1+4.75%)2+106(1+4.75%)3=103.420\;\frac6{{(1+4.75\%)}^1}+\text{ }\frac6{{(1+4.75\%)}^2}+\frac{106}{{(1+4.75\%)}^3}=103.420(1+4.75%)16+ (1+4.75%)26+(1+4.75%)3106=103.420. Subtracting $100 for the floating leg gives exposure of $3.4 million. More intuitively, the sum of the coupon fferenis 3 times (6%−4.75%)$100=$1.25{(6\%-4.75\%)}\$100=\$1.25(6%−4.75%)$100=$1.25, or aroun$3.75 million without scounting. 老师，没看出来什么意思？
老师，题目里不是4年合约，为啥答案只算三年？
