NO.PZ2016082402000065
问题如下:
A bank entered into a three-year interest rate swap for a notional amount of USD 250 million, paying a fixed rate of 7.5% and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded spot one-year and two-year LIBOR rates are 8% and 8.5%, respectively. The value of the swap at that time is closest to
选项: USD
14 million
USD -6 million
C.USD -14 million
D.USD 6 million
解释:
ANSWER: D
This question differs from the previous one, which gave the swap rate. Here, we have the spot rates for maturities of one and two years. The coupon is 7.5. The net present value (NPV) of the payments is then Right after the reset, the value of the FRN is $250 million, leading to a gain of $6 million. This is a gain because the bank must pay a fixed rate but current rates are higher.
(1+0.08)*(1+f)=(1+0.085)square,可以得出f=0.09,然后第二年末net CF=(0.08-0.075)*250M,第三年末net CF=(0.09-0.075)*250M,两年的NET CF分别用0.08和0.085折现,最后得出结果。
请问老师,这个思路错在哪里?