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hyi725 · 2021年11月07日

好难。。。

* 问题详情,请 查看题干

NO.PZ201903040100000104

问题如下:

4.From the bank’s perspective, using data from Exhibits 4 and 5, the fair value of the equity swap is closest to:

选项:

A.

-$1,139,425.

B.

-$781,323.

C.

-$181,323.

解释:

B is correct. Te value of an equity swap is calculated as

Vt=FB(C0)(stst)NAEV_t=FB(C_0)-(\frac{s_t}{s_t})NA_E\\\\

The swap was initiated six months ago, so the first reset has not yet passed; thus, there are five remaining cash flows for this equity swap. The fair value of the swap is determined by comparing the present value of the implied fixed- rate bond with the return on the equity index. The fixed swap rate of 2.00%, the swap notional amount of $20,000,000, and the present value factors in Exhibit 5 result in a present value of the implied fixed-rate bond’s cash flows of $19,818,677:

The value of the equity leg of the swap is calculated as (103/100)($20,000,000)= $20,600,000.

Therefore, the fair value of the equity swap, from the perspective of the bank (receive-fixed, pay-equity party) is calculated as

Vt = $19,818,677 - $20,600,000 = -781,323

有点难以理解这道题 考试会考这么难吗

1 个答案

lynn_品职助教 · 2021年11月08日

嗨,努力学习的PZer你好:


考试会考的,同学千万不要放弃,swap其实不难的,只是计算麻烦而已。

解题思路,

1.分别计算equity leg 和 fixed leg的部分;

—— equity leg :index 上涨比率 * NP,(103-100)/ 100 * NP = $20,600,000.

—— fixed leg : 先画图,再折现。

同学可以再理解下哈。

----------------------------------------------
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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NO.PZ201903040100000104 -$781,323. -$181,323. B is correct. Te value of equity swis calculateVt=FB(C0)−(stst)NAEV_t=FB(C_0)-(\frac{s_t}{s_t})NA_E\\\\Vt​=FB(C0​)−(st​st​​)NAE​ The swwinitiatesix months ago, so the first reset hnot yet passe thus, there are five remaining cash flows for this equity swap. The fair value of the swis terminecomparing the present value of the impliefixe rate bonwith the return on the equity inx. The fixeswrate of 2.00%, the swnotionamount of $20,000,000, anthe present value factors in Exhibit 5 result in a present value of the impliefixerate bons cash flows of $19,818,677: The value of the equity leg of the swis calculate(103/100)($20,000,000)= $20,600,000. Therefore, the fair value of the equity swap, from the perspective of the bank (receive-fixe pay-equity party) is calculateVt = $19,818,677 - $20,600,000 = -781,323老师,请问下,这里的0.02是怎么算出来的,为什么我算出来的是0.2,2%*20*1/2=0.2,好奇怪

2021-03-31 22:35 2 · 回答

    我怎么觉得逻辑是[0.02*(0.5因子+1.5因子+2.5因子+3.5因子)+1*3.5因子-103/100]*NP,但上面画图题中确是[0.02*(0.5因子+1.5因子+2.5因子+3.5因子)+1.02*0.95255-103/100]*NP,为什么是1.02*0.95255?

2019-05-16 22:23 1 · 回答

    你好,请问可以照老师上课的画图和列公式方法一遍吗谢谢。

2019-04-28 16:32 1 · 回答

    请问这个折现的计算为什么可以按单利,题目没有明确说明呀?

2019-03-27 22:51 1 · 回答