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比如世界 · 2020年05月27日

问一道题：NO.PZ2020021204000045

  1. FRM I
  2. Financial Markets And Products

问题如下：

The quotes for a five-year interest rate swap are bid 3.20, ask 3.24. What swap would be entered by a company that can borrow for five years at 4.2% per year but wants to borrow at a floating rate? What rate of interest does the company end up borrowing at?

选项：

解释：

The company should arrange to receive fixed and pay floating to convert the fixed-rate loan to a floating-rate loan. It will accept the bid quote of 3.20. Its cash flows will be

• Receive 3.2%,

• Pay 4.2%, and

• Pay Libor.

These net to Libor plus 1 %.

老师您好，这道题目不理解，麻烦再讲一下

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1 个答案

袁园_品职助教 · 2020年05月28日

同学你好！

题目问：公司可以借到5年期固定利率4.2%的贷款，但是公司想借浮动利率的，那么经过swap之后，公司最后实际借款利率是多少？

答：公司借到 4.2% 的贷款后，可以签一个付浮动收固定的 swap 以达到自己借浮动的目的。根据题目一直条件，swap 中公司付出的浮动利率是 Libor，收到的将会是bid价格 3.2%，所以公司的实际借款利率就是 -4.2% - Libor +3.2% = -Libor -1%，即付出 Libor+1% 的浮动利率。

btw，下次提问可以点出具体哪里不懂，这样我们可以更有针对性的回答~

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