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hwqjulia001 · 2021年11月26日

我先算出的return 再乘以NP 为什么得不到答案呢

NO.PZ2019010402000011

问题如下:

A manger entered into a receive-fixed and pay-equity swap three months ago. The annualized fixed rate is 3% and equity index was at 100 when swap was entered. The maturity of swap is one year with quarterly reset, and notional amount is $100 million. The current spot rates are as follows:

Assume the equity index is currently trading at 101, the value of the swap is:

选项:

A.

320,450

B.

246,337

C.

-246,337

解释:

C is correct.

考点:equity swap求value.

解析:

首先画图:

一年期的swap,3个月之前进入的,所以时间轴如下,还剩3笔现金流。

对于equity leg来说,我们可以根据价格水平直接计算现在的value。

valueequity=(101/100)×100,000,000=101,000,000{\text{value}}_{equity}=(101/100)\times100,000,000=101,000,000

对于fixed leg来说,我们只用将三笔现金流折现即可。

Valuefixedleg=3%×(90360)×100000000×(0.997506+0.992556+0.985222)+100,000,000×0.985222=100,753,663Value_{fixedleg=}3\%\times(\frac{90}{360})\times100000000\times(0.997506+0.992556+0.985222) +100,000,000\times0.985222\\=100,753,663

Value of swap=-101,000,000+100,753,663=-246,337

Equity:(101-100)/100 = 0.01

Fixed: 3% * (0.997506+0.992556+0.985222)+1*0.985222 = 1.00754

两边做差等于 0.99754, 再乘 NP 100m 得不出答案


麻烦看下哪步有问题?

1 个答案

lynn_品职助教 · 2021年11月27日

嗨,努力学习的PZer你好:


这道题是求swap的value,同学计算出的0.99754*NP需要减去NP,才是这份swap带来的收益。

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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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