Therefore, the yen periodic rate is calculated as ？ 问题

问题如下：

3.Based on Exhibit 3, Johnson should determine that the annualized equilibrium fixed swap rate for Japanese yen is closest to:

选项：

0.0624%.

0.1375%.

0.2496%.

解释：

C is correct. The equilibrium swap fixed rate for yen is calculated as

$\widehat rFIX,JPY=\frac{1-PV_{0,t4,JPY}(1)}{{\displaystyle\sum_{i=1}^4}PV_{0,t4,JPY}(1)}\\$

The yen present value factors are calculated as

$PV_{0,ti}(1)=\frac1{{}^rspot_i\left({\displaystyle\frac{NADi}{NTD}}\right)}\\$

90-day PV factor =1/[1+0.0005(90/360)] = 0.999875.

180-day PV factor =1/[1+0.0010(180/360)] = 0.999500.

270-day PV factor =1/[ 1+0.0015(270/360)] = 0.998876.

360-day PV factor =1/[ 1+0.0025(360/360)] = 0.997506.

Sum of present value factors = 3.995757.

Therefore, the yen periodic rate is calculated as

$\widehat rFIX,JPY=\frac{1-0.997506}{3.995757}=0.000624\;or\;0.0624\%\\\\$

The annualized rate is (360/90) times the periodic rate of 0.0624%, or 0.2496%.