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xing jia🎐 · 2021年08月01日

value of swap contract

请问以下能否用画图法? 求图

Mbali Ndlovu, a trader on Mafadi’s derivatives desk, works closely with Fourie to implement solutions for his clients. Fourie asks Ndlovu to review and calculate the value of a five-year ZAR20,000,000 swap into which Global Bullion entered two years ago. It is a receive-fixed, Libor-based interest rate swap with annual resets (30/360 day count). The fixed rate in the swap contract established two years ago was 3%.


Ndlovu receives a request from Fourie to structure an OTC swap transaction for one of his clients. After reviewing the request, Ndlovu agrees to be the counterparty for a one-year swap on Tanzanite Resources (Tanzanite) stock in which the client is seeking to enter into a receive-equity returns and pay-fixed arrangement. Tanzanite does not pay a dividend. The swap is structured as a quarterly reset, 30/360 day count, with a notional value of ZAR 5,000,000. The fixed rate is 3.2% annually. Tanzanite has a return of –3.6% for the first quarter.


1,2,3年的折现因子分别为0.9802 , 0.9560 , 0.9311


The value of Global Bullion’s swap contract is closest to:ZAR344,076.



1 个答案

WallE_品职答疑助手 · 2021年08月02日

嗨,努力学习的PZer你好:


如图,近似选C

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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