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wuzx · 2021年09月17日

请问老师12期折现用计算器怎么按出来呢？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2020021204000048

问题如下：

You are required to estimate the value of an overnight indexed swap that has three years left in its life and involves paying a fixed rate of 5% at the end of each quarter and receiving the rate implied by the overnight rate when it is compounded day-by-day during the quarter. The notional principal is USD 20 million. The current quote for a three-year overnight index swap is bid 3.80, ask 3.88. The risk-free rate is 3.6% for all maturities. All rates are compounded quarterly.

选项：

解释：

The swap rate is the average of 3.80 and 3.88, or 3.84%. The swap involves paying 5% when the market rate is 3.84%. The swaps value is the present value of:

0.25 X (0.0384 - 0.05) X USD 20,000,000 = -USO 58,000

on every payment date for the next three years.

Because the risk-free rate is 3.6%/4 = 0.9% per quarter, the value is

−∑i=11258,0001.009i-\sum_{i=1}^{12}\frac{58,000}{1.009^i}

请问老师12期折现用计算器怎么按出来呢？


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1 个答案

DD仔_品职助教 · 2021年09月17日

嗨，从没放弃的小努力你好：


同学你好~

用计算器第3行

N=12，I/Y=0.9，PMT=58000，FV=0，点第一个键CPT，然后点PV就可以出结果

注意：

  1. 这里只有期间现金流，所以FV=0
  2. PV出来是负数，代表期初花这么多钱，才能得到每期58000的收入，符号只代表现金流方向
  3. 输入利率不要%，%在金融计算器中只是单位


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