NO.PZ2020021204000041
问题如下:
An interest rate swap starts on June 1, 2019, and involves a six-month Libor being paid and a fixed rate of 5% being received every six months on a principal of USD 5 million. When does the first exchange take place?
How is it calculated?
解释:
The first exchange will take place six months after June 1, 2019, on December 1, 2019. It will be calculated as:
0.5 X (0.05 - R) x USO 5,000,000
where R is the Libor rate on June 1, 2019.
老师,请问为什么计算要实际利率减去libor呢