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。
对于fixed leg来说,我们只用将三笔现金流折现即可。
Value of swap=-101,000,000+100,753,663=-246,337
老师,解析过程我都明白,我只是想问问在算value的这个时点,还有一笔收到的固定利息:3%*90/360*100m, 为什么没有考虑?不是也应该算作value的一部分吗,还是说默认算value的时候,这笔利息已经收到了?