临江仙 · 2020年09月30日
问题如下：
A bank entered into a swap with two years to maturity as a floating rate payer. The fixed rate is 4%, with annal payments. The notional priciple is $5,000,000. The spot interest rates are as follows: one year, 3.5%; two years, 4.5%. Today is the reset day, the current value of the swap is closest to:
选项：
A.$54,437.
B.$-54,437.
C.-$30,125.
D.$30,125.
解释：
B is correct.
考点：利率互换估值.
解析：
支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset day 价值回归面值。
收固定的一方可以看作一个固定利率债券，
reset day是哪一天？怎么判断？
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 比如，本题是floating payer，最终是用计算出的fix现金流的现值-面值1，为什么不是用1-fix现值呢，谢谢
NO.PZ2019052801000049问题如下A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to:A.$54,437.B.$-54,437.C.-$30,125.$30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 老师，题目里的“Toy is the reset y”是什么意思啊？
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 如题
NO.PZ2019052801000049 问题如下 A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to: A.$54,437. B.$-54,437. C.-$30,125. $30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437
NO.PZ2019052801000049问题如下A bank entereinto a swwith two years to maturity a floating rate payer. The fixerate is 4%, with annpayments. The notionpriciple is $5,000,000. The spot interest rates are follows: one year, 3.5%; two years, 4.5%. Toy is the reset y, the current value of the sw is closest to:A.$54,437.B.$-54,437.C.-$30,125.$30,125. B is correct.考点利率互换估值.解析支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset y 价值回归面值。收固定的一方可以看作一个固定利率债券，Bfix =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113Bfix=0.04e−0.035+1.04e−0.045×2=0.989113lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437lV=(0.989113−1)×5,000,000=−54,437 题目中说浮动用的是payer，固定用的是payment，那到底哪个是付出，哪个是收到怎么区分？
