问一道题：NO.PZ2016082402000063

问题如下：

Consider the following information about an interest rate swap: two-year term, semiannual payment, fixed rate=6%, floating rate=LIBOR+50 basis points, notional USD 10 million. Calculate the net coupon exchange for the first period if LIBOR is 5% at the beginning of the period and 5.5% at the end of the period.

选项：

Fixed-rate payer pays USD 0.

Fixed-rate payer pays USD 25,000.

Fixed-rate payer pays USD 50,000.

Fixed-rate payer receives USD 25,000.

解释：

ANSWER: B

The floating leg uses LIBOR at the beginning of the period, plus 50bp, or 5.5%. The payment is given by $10,000,000 × (0.06-0.055) × 0.5=25,000.

是不是固定换浮动的swap也是起初决定期末的利率?

那第一期期末的Libor就是决定第二期settle的？

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orange品职答疑助手 · 2019年11月04日

swap里浮动端的libor是每期改变的，比如说，期初给了第一期的libor，那第一期的value就定了

第一期期末的Libor决定了第二期的settle

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NO.PZ2016082402000063问题如下Consir the following information about interest rate swap: two-yeterm, semiannupayment, fixerate=6%, floating rate=LIBOR+50 basis points, notionUS10 million. Calculate the net coupon exchange for the first perioif LIBOR is 5% the beginning of the perioan5.5% the enof the perioA.Fixerate payer pays US0.B.Fixerate payer pays US25,000.C.Fixerate payer pays US50,000.Fixerate payer receives US25,000.ANSWER: BThe floating leg uses LIBOR the beginning of the perio plus 50bp, or 5.5%. The payment is given $10,000,000 × (0.06-0.055) × 0.5=25,000.从哪里看出来是付固定，收浮动的？

2022-05-21 09:27 1 · 回答

NO.PZ2016082402000063 Calculate the net coupon exchange for the first perioif LIBOR is 5% the beginning of the perioan5.5% the enof the perio 整个题目，还是最后一句话中的“the net coupon exchange for the first perio比较难以理解。举例子来说，是指T-0时开始，LIBOR is 5%，半年后是“ the first perio么？半年后的LIBOR is 5.5%么？

2021-03-17 23:12 1 · 回答

请问这道题给出 5.5% the enof the perio 的意义是？

2020-04-22 22:03 1 · 回答

如果这道题涉及到往0折现也用5吗

2019-05-04 15:10 1 · 回答

问一道题：NO.PZ2016082402000063

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