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滴滴姐姐~ · 2021年10月24日

两个助教老师回答怎么不一样。。到底是题出错了还是没出错。。。

NO.PZ2020033003000109

问题如下:

Ace, a Hedge Fund plans to enter into a $50 million total return swap on the S&P 500 Index as the index receiver (i.e., total return receiver). The counterparty (i.e., total return payer) will receive 1-year LIBOR + 300bp. The contract will last two years and will exchange cash flows annually. The current LIBOR is 2% now and is assumed to remain flat in the next two years. Current S&P 500 value is 2,000 and is expected to reach 2,200 in one year then drop to 1,980 in two years. What are the cash flows to the Ace in one year and in two years, respectively?

选项:

1 Year
2 Years
A.
+5 million
-5 million
B.
+5 million
-10 million
C.
+0 million
-5 million
D.
+0 million
-10 million

解释:

D is correct.

考点:Total return swap.

解析:

In one year, the S&P 500 Index will increase by 10%. Ace will receive $5 million from the index payer and will pay $5 million (LIBOR =2% + 300bp) to the counterparty. Therefore, the net cash flow will be +0 million.

Between years 1 and 2, the S&P 500 Index will drop 10%. Ace, as the total return receiver must pay 10%, $5 million to the counterparty in addition to the $5 million (LIBOR =2% + 300bp). Hence, the total outflow from Ace to the counterparty is $10 million.

我算的也是第一年净入5% 第二年净出15%。。。


题库里的(疑似)错题比例有点高诶-。-

2 个答案

DD仔_品职助教 · 2021年11月08日

嗨,爱思考的PZer你好:


第二年的本金还是50m,默认你收到的现金流并不会再以本金的形式投资出去。

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努力的时光都是限量版,加油!

DD仔_品职助教 · 2021年10月24日

嗨,努力学习的PZer你好:


答案应该是有问题的

题目考察的是total return swap,也就是交换总的return

ace要把自己实际的total return给出去,拿到5%的total return。

第一年实际的return是10%,他给出去5%,那就是剩5%。*本金50m=2.5

第二年实际的return是-10%,他给出去5%,剩-15%。*本金50m=-7.5m


题库还在更新中,FRM的题错误很多,因为考试出题以及练习题都不太规范,目前还在一个一个题核对录入中文解析,还请同学见谅

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

幸运是努力带来的 · 2021年11月08日

第二年的index本金就是55m,而不是50m了吧?因为第一年已经想到55了。所以index下跌的赔付是5.5,再加上interest付出2.5,总共是8,对么?