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Fay · 2021年11月22日

为什么不考虑floating cf

  1. CFA II
  2. Derivative

* 问题详情，请 查看题干

NO.PZ201903040100000102

问题如下：

2.From the bank’s perspective, using data from Exhibit 1, the current value of the swap described in Exhibit 2 is closest to:

选项：

A.

-$2,951,963.

B.

-$1,849,897.

C.

-$1,943,000.

解释：

B is correct. The value of a swap from the perspective of the receive-fixed party is calculated as

V=NA(FS0−FSt)∑i=1n′PVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}

The swap has two years remaining until expiration. The sum of the present values for Years 1 and 2 is

∑i=1n′PVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975

Given the current equilibrium two-year swap rate of 1.12% and the fixed swap rate at initiation of 3.00%, the swap value per dollar notional is calculated as

V = (0.03 - 0.0112)1.967975 = 0.036998

The current value of the swap, from the perspective of the receive-fixed party, is $50,000,000 x 0.036998 = $1,849,897.

From the perspective of the bank, as the receive-floating party, the value of the swap is -$1,849,897.

为什么向上箭头不是 本金+ f1 
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1 个答案

lynn_品职助教 · 2021年11月22日

嗨，从没放弃的小努力你好：


浮动利息那边可以看成一个浮动利率债券，对于浮动利率债券，在每个coupon day 债券的价格都会回归面值1.所以只要是付息日，债券的价格都是1，即NP；而如果当前时刻不是付息日，那浮动债券的价格就是下一个coupon day 的价值=NP+下期coupon 再折现到当前时刻。

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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.PZ201903040100000102 题中条件1.12%是否只适用于重新定价时使用，如果用画图法的话，就不需要考虑这个条件呢？

2021-05-21 11:15 1 · 回答

NO.PZ201903040100000102 这道题可以详细解答以下吗？我没看到题目的意思

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NO.PZ201903040100000102 老师，请问画图法这样算错在哪里呢？

2021-04-11 11:05 1 · 回答

-$1,849,897. -$1,943,000. B is correct. The value of a swfrom the perspective of the receive-fixeparty is calculateV=NA(FS0−FSt)∑i=1n′PVt,tiV=NA{(FS_0-FS_t)}\sum_{i=1}^{n'}PV_{t,ti}V=NA(FS0​−FSt​)∑i=1n′​PVt,ti​ The swhtwo years remaining until expiration. The sum of the present values for Years 1 an2 is ∑i=1n′PVt,ti= 0.990099 + 0.977876 = 1.967975\sum_{i=1}^{n'}PV_{t,ti}=\text{ }0.990099\text{ }+\text{ }0.977876\text{ }=\text{ }1.967975∑i=1n′​PVt,ti​= 0.990099 + 0.977876 = 1.967975 Given the current equilibrium two-yeswrate of 1.12% anthe fixeswrate initiation of 3.00%, the swvalue per llnotionis calculateV = (0.03 - 0.0112)1.967975 = 0.036998 The current value of the swap, from the perspective of the receive-fixeparty, is $50,000,000 x 0.036998 = $1,849,897. From the perspective of the bank, the receive-floating party, the value of the swis -$1,849,897.不是receive float吗，那应该是（100+1.12)*0.990099-(3*0.990099+103*0.977876)吧？

2021-01-17 21:40 2 · 回答