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游得过 · 2020年08月01日

问一道题:NO.PZ2019010402000011 [ CFA II ]

问题如下图:

选项:

A.

B.

C.

解释:

请问这个是long还是shortposition 怎么看的

1 个答案

WallE_品职答疑助手 · 2020年08月02日

同学你好,

因为题目里面说是收固定,付Equity (相当于long一个固定的债券,short 一个equity)

所以图中向上表收到,向下表支出。

那么你折现计算出来的在0.25时间的点是它的价值,大于0说明他收固定,付equity赚钱了

小于零说明亏钱了。

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NO.PZ2019010402000011 问题如下 A manger entereinto a receive-fixeanpay-equity swthree months ago. The annualizefixerate is 3% anequity inx w100 when swwentere The maturity of swis one yewith quarterly reset, annotionamount is $100 million. The current spot rates are follows:Assume the equity inx is currently trang 101, the value of the swis: A.320,450 B.246,337 C.-246,337 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。valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000valueequity​=(101/100)×100,000,000=101,000,000对于fixeleg来说,我们只用将三笔现金流折现即可。Valuefixeeg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixeeg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663Valuefixeeg=​3%×(36090​)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value of swap=-101,000,000+100,753,663=-246,337 这里更准确的理解是否应该乘以B0.5、B0.75、B1折现到0时刻,然后整体再除以B0.25得到t=0.25时刻的收入现值?

2024-07-24 21:37 1 · 回答

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2024-04-16 10:09 1 · 回答

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2024-03-24 20:36 1 · 回答

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2023-11-03 00:04 1 · 回答