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: for three remaining periods, we have the discounted value of the net interest payment, or 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?