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Esther🏵🎠🗝招财🐱 · 2020年06月15日

问一道题：NO.PZ2019010402000011 [ CFA II ]

问题如下：

A manger entered into a receive-fixed and pay-equity swap three months ago. The annualized fixed rate is 3% and equity index was at 100 when swap was entered. The maturity of swap is one year with quarterly reset, and notional amount is $100 million. The current spot rates are as follows:

Assume the equity index is currently trading at 101, the value of the swap is:

选项：

A.

320,450

B.

246,337

C.

-246,337

解释：

C is correct.

考点：equity swap求value.

解析：

首先画图：

一年期的swap，3个月之前进入的，所以时间轴如下，还剩3笔现金流。

对于equity leg来说，我们可以根据价格水平直接计算现在的value。

${\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000$

对于fixed leg来说，我们只用将三笔现金流折现即可。

$Value_{fixedleg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663$

Value of swap=-101,000,000+100,753,663=-246,337

老师请问这个题目是需要交易本金的吧，所以要把总数求出来

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xiaowan_品职助教 · 2020年06月15日

嗨，从没放弃的小努力你好：

同学你好，

equity swap互换双方货币一样，是不换本金的，这样子上下加本金是为了计算方便（可以直接把固定收益端当作债券来计算）。建议同学复习一下基础班Pricing and Valution of Equity Swap中老师讲解equity swap的内容。

-------------------------------
就算太阳没有迎着我们而来，我们正在朝着它而去，加油！

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