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· 2022年03月09日

请问8% 为什么是过去时？

  1. FRM I
  2. Financial Markets And Products

NO.PZ2016082402000064

问题如下：

Bank XYZ enters into a five-year swap contract with ABC Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 million. Two years from now, the market rate on three-year swaps at LIBOR is 7%. At this time ABC Co. declares bankruptcy and defaults on its swap obligation. Assume that the net payment is made only at the end of each year for the swap contract period. What is the market value of the loss incurred by Bank XYZ as a result of the default?

选项：

A.

$1.927 million

B.

$2.245 million

C.

$2.624 million

D.

$3.011 million

解释：

ANSWER: C

Using Equation:V=∑iniFi−K(1+Ri)τiV=\sum_in_i\frac{F_i-K}{{(1+R_i)}^{\tau_i}} for three remaining periods, we have the discounted value of the net interest payment, or  (8%−7%)×$100m=$1m\;{(8\%-7\%)}\times\$100m=\$1m discounted at 7%, which is $934,579+$873,439+$816,298 = $2,624,316.

看了之前老师的回复，关于为何使用7%而不是8%，老师说是8%是过去了。那如果是过去，那为何将来default不能兑换的3年，还要用8%计算profit？

感谢回答。

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1 个答案

DD仔_品职助教 · 2022年03月09日

嗨，从没放弃的小努力你好：


同学你好，

题目问的是What is the market value of the loss incurred by Bank XYZ as a result of the default?

问的是损失的现值，没有违约之前利率8%，违约之后利率7%，差额就是loss，每一年都有1m的原本是profit，但是因为违约了，没有了，就变成了loss。


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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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