NO.PZ2020021204000047
问题如下：
Company A can borrow at a fixed rate of 4.3% for five years and at a floating rate of Libor plus 30 basis points. Company B can borrow for five years at a fixed rate of 5.9% and at a floating rate of Libor plus 100 basis points. As a swaps trader you are in touch with both companies and know that Company A wants to borrow at a floating rate and that Company B wants to borrow at a fixed rate. Both companies want to borrow the same amount of money. Design a swap where you will earn 10-basis points, and which will appear equally attractive to both sides.
选项：
解释：
The spread between the fixed rates offered to Companies A and B is 5.9% - 4.3% or 1.6%. The spread between the floating rates is 70 basis points or 0.7%. The difference between these two spreads is 1.6% - 0.7% or 0.9%. It should be possible to design a swap where the parties are in aggregate 0.9% better off. The bank (intermediary) wants 0.1%. This leaves 0.4% for each side. We should therefore be able to design a swap where Company A borrows at Libor + 0.3% - 0.4% or Libor - 0.1 % and Company B appears to borrow at 5. 9% - 0.4% = 5.5%. If the bank pays X% to A we require 4.3% + Libor - X% = Libor - 0.1% so that X = 4.4. Similarly, if B pays Y% to the bank, we require Y% + 1% = 5.5% so that Y = 4.5. The swap arrangement is
为什么A到dealer到B直接是Libor？不能是Libor-0.1%么？不是很明白Libor-0.1%和5.5%分别是A、B在考虑了各自分摊的收益以后的劣势，为什么解题思路从劣势考虑，而不是从优势考虑？
