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月之流离 · 2022年02月05日

fix swap rate 没有要求 annual，

  1. CFA II
  2. Derivative

NO.PZ2019010402000060

问题如下：

The two-year Libor-based interest rate swap with semi-annual resets (30/360 day count). Based on the following information, the fixed rate of the swap is:

选项：

A.

2.4735%

B.

2.1659%

C.

4.3318%

解释：

C is correct

本题考察的是对利率互换进行定价。

∑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%

没有问annual，是否还要乘以2？？
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1 个答案

Lucky_品职助教 · 2022年02月06日

嗨，努力学习的PZer你好：


因为这个swap contract每半年reset一次，相当于每次换都只换1/2，因此求出的swap rate只是半年的，fixed swap rate默认都是年化的，同学要记住这个点哦。本例在基础班课程里李老师作为例题进行了讲解，同学可以再复习一下加深印象~

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努力的时光都是限量版，加油！

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