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AliciaLi · 2021年10月02日

这个答案是怎么求的

  1. FRM I
  2. Financial Markets And Products

NO.PZ2019052801000049

问题如下：

A bank entered into a swap with two years to maturity as a floating rate payer. The fixed rate is 4%, with annal payments. The notional priciple is $5,000,000. The spot interest rates are as follows: one year, 3.5%; two years, 4.5%. Today is the reset day, the current value of the swap is closest to:

选项：

A.

$54,437.

B.

$-54,437.

C.

-$30,125.

D.

$30,125.

解释：

B is correct.

考点：利率互换估值.

解析：

支浮动的一方可以看作一个浮动利率债券，浮动利率债券在reset day 价值回归面值。

收固定的一方可以看作一个固定利率债券，

Bfix  =0.04e−0.035+1.04e−0.045×2=0.989113B_{fix}\;=0.04e^{-0.035}+1.04e^{-0.045\times2}\\=0.989113

lV=(0.989113−1)×5,000,000=−54,437{l}\\V=(0.989113-1)\times5,000,000=-54,437

我想问一下求value不就是向上箭头-向下箭头吗， 不是应该求出向上的fix的折现减去向下的浮动利率回归面值吗， 答案的Bfix什么意思啊

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1 个答案

品职答疑小助手雍 · 2021年10月02日

同学你好，swap就相当于两个债券，一个浮动一个固定。

Bfix算的是固定端每1块钱的面值对应的现值是多少。

浮动端一块钱面值现值就是1块钱，所以算好了Bfix减去1就等于1块钱swap的面值对应的swap现值。

乘以swap面值5million就得到swap的价值了。

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