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Hahahahaha · 2021年11月29日

问题

  1. CFA II
  2. Derivative

NO.PZ2019010402000061

问题如下：

Suppose one year ago we entered a €200,000,000 three-year receive-fixed Libor-based interest rate swap with semi-annual resets (30/360 day count). The fixed rate in the swap contract entered one year ago was 4.5%. The value for the party receiving the fixed rate is:

选项：

A.- €648,079.61 B.

€648,079.61

C.

- €548,068.57

解释：

B is correct

本题考察的是利率互换求value。

先求出在t=1时刻的互换的固定利率：

∑i=1nPVi(1)=0.985222+0.966184+0.943396+0.917431=3.812233\sum_{i=1}^nPV_i\left(1\right)=0.985222+0.966184+0.943396+0.917431=3.812233

fixed swap rate = (1- 0.917431) / 3.812233=2.1659%

annulized: 2.1659% * 360/180 = 4.3318%

然后计算value，对于fixed receiver：

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61

V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61，为什么要乘180/360呢？有点迷糊了

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1 个答案

lynn_品职助教 · 2021年11月30日

嗨，从没放弃的小努力你好：


V= (0.045 - 0.0433) ×(180/360)×3.812233×200,000,000 = €648,079.61 这个等式的意思是，将合约获得的各期利息差折现。等式里面4.5%和4.33%为年利息差额，需要乘以180/360 * NP, 才能算出每一期的利息额。

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