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家家 · 2019年09月28日

问一道题：NO.PZ2016082406000048 [ FRM II ]

  1. FRM II
  2. Credit Risk Measurement And Management

问题如下图：

选项：

A.

B.

C.

D.

解释：

老师，哪里可以看出原来的swap rate是6%呀

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1 个答案

orange品职答疑助手 · 2019年09月29日

swap rate相当于是一系列浮动利率的打包价，或者说是平均值。

现在（一年后）的swap rate下降了1.25%，就说明整个市场利率平均值下降了1.25%（之前市场利率的平均值=之前的swap rate=6%)，所以现在市场利率的平均值=6%-1.25%=4.75%，这其实是一个近似的代表，因为没有给出更具体的条件了

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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.

2021-03-29 23:09 2 · 回答

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！

2020-03-26 21:49 1 · 回答

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！

2020-03-26 21:49 2 · 回答

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？

2020-03-10 02:47 1 · 回答

老师，题目里不是4年合约，为啥答案只算三年？

2019-10-27 18:48 1 · 回答