问一道题：NO.PZ201903040100000105 第5小题 [ CFA II ]

B.

99.09.

C.

100.00.

解释：

B is correct. The equity index level at which the swap’s fair value would be zero can be calculated by setting the swap valuation formula equal to zero and solving for S_t:

$<\mathrm{/}em><i>V_t=FB(C_0)-\left(\frac{s_t}{s_t-}\right)N{A}_E$V_t=FB(C_0)-\left(\frac{s_t}{s_t-}\right)NA_E\\\\</em><i>Vt​=FB(C0​)−(st​−st​​)NAE​

The value of the fixed leg of the swap has a present value of $19,818,677, or 99.0934% of par value:

Treating the swap notional value as par value and substituting the present value of the fixed leg and into the equation yields

$0=99.0934-\left(\frac{s_t}{100}\right)100\\\\$

Solving for S_t yields S_t = 99.0934

为什么没加上0.895255呢？谢谢老师