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Drink H · 2020年02月28日

问一道题:NO.PZ2016082402000064 [ FRM I ]

问题如下:

Bank XYZ enters into a five-year swap contract with ABC Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time ABC Co. declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period. What is the market value of the loss incurred by Bank XYZ as a result of the default?

选项:

A.

$1.927 million

B.

$2.245 million

C.

$2.624 million

D.

$3.011 million

解释:

ANSWER: C

Using Equation:V=iniFiK(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}} for three remaining periods, we have the discounted value of the net interest payment, or  (8%7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m discounted at 7%, which is $934,579+$873,439+$816,298 = $2,624,316.

李老在课堂上讲过,如果用libor折现,应该是单利的。这题是因为ABC违约,所以XYZ签的这个2x5 FRA(我没理解错吧?)的Libor被作为了每个现金流的折现利率使用?
1 个答案

品职答疑小助手雍 · 2020年02月28日

同学你好,算利率的绝对数字的时候用单利,不过折现的时候就像解析里这样折就行。

Drink H · 2020年02月28日

绝对数字是指什么?

品职答疑小助手雍 · 2020年02月29日

比如求XX天的accrued interest的时候,那个利息数。

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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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