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胖娃er要过CFA · 2019年09月01日

问一道题:NO.PZ2019052801000049 [ FRM I ]

麻烦请帮我看下如下思路错在哪里

问题如下图:

选项:

A.

B.

C.

D.

解释:

1 个答案

品职答疑小助手雍 · 2019年09月02日

同学你好,这题不能直接拿spot rate进行利差的加减,如果要严格算利差的话,首先要求出当前市场公允的swap rate然后和之前的4%的swap rate作差再折现才能求出value。这相当于你现在在市场上进入一个swap把当前的头寸平掉。

先求目前的swap rate(sr): sr*EXP(-0.035)+(1+sr)*EXP(-0.09)=1, 求出sr等于4.5792572%

然后再用合约的swap rate 和当前的swap rate作差折现(乘以本金)。  (4%-sr)*exp(-0.035)+(4%-sr)*exp(-0.045*2)      算出来再乘以5000000得到-54436.75

magico · 2019年09月02日

好像还是有点晕,为什么要用公允的swap rate来算利差?

品职答疑小助手雍 · 2019年09月02日

这题本来算固定和浮动两端分开算就可以了的。非要用利差算的话只能是假设现在在市场上进入另一个swap把当前swap的浮动端抵消掉,持有的swap只剩收固定端,新swap只剩付固定端,求这两个固定端的利差再折现来求value。

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NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券,浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券,Bfix  =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix​=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 比如,本题是floating payer,最终是用计算出的fix现金流的现值-面值1,为什么不是用1-fix现值呢,谢谢

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2024-03-17 19:55 1 · 回答

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2024-03-10 00:31 1 · 回答

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