嗨,爱思考的PZer你好:
请问方案二中“原来手里有一个10年期的固定利率债券头寸”在题目何处可以体现?
在下面这句,题干说他要么买入2年期的Greek bond,要么买入10年期的Greek bond:
He is thinking of buying either the Greek 2-year (4.75% coupon of 4/17/19 at a price of 99.18) or the Greek 10-year (3% coupon of 2/17/27 priced at 78.86).
下面这段接着又说,他可能仅仅是买入债券;或者买入债券之后,同时还会做一个Asset-swap;如果是买入的10年期债券的话,(就会同时做一个Asset swap),Asset swap里面,会支付出去3%的Coupon,这和Buy 10-year Greek bond收到的3% coupon相互抵消,剩下的净现金流就是Asset swap里面收到的6-month floating rate。
He may simply buy the bond, but he is also considering doing an asset-swap. In the case of the 10-year this would mean paying fixed at 3% timed to match the 3% annual coupon from the bond and receiving a spread to the 6-month floating rate.
----------------------------------------------就算太阳没有迎着我们而来,我们正在朝着它而去,加油!