价格的变化 下降1% 不是多付出去吗

NO.PZ2020033002000069 问题如下 ABank hma a loof US100 million 5.5% per annum anenters into a totreturn swunr whiit will pthe interest on the loplus the change in the marketo-market value of the loan, anin exchange it will receive LIBOR+50 basis points. Settlement payments are ma semiannually. Whis the cash flow for ABank on the first settlement te if the mark-to-market value of the lofalls 1% anLIBOR is 3.5%? A.Net outflow of US1.75 million B.Net inflow of US2.0 million C.Net outflow of US3.75 million Net inflow of US0.25 million is correct.考点Swap解析Note ththis is a semiannupaymentABank pays 100(5.5%/2−1%)100{(5.5\%/2-1\%)}100(5.5%/2−1%). In return, it gets 100(4.0%/2)100{(4.0\%/2)}100(4.0%/2). The net cash flow is 100×(2%−1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million100×(2%−1.75%)=100×1%=0.25million fixerate 5.5%, LIBOR 3.5%都去年化，为何market value increase 1%不用去年化?

NO.PZ2020033002000069 问题如下 ABank hma a loof US100 million 5.5% per annum anenters into a totreturn swunr whiit will pthe interest on the loplus the change in the marketo-market value of the loan, anin exchange it will receive LIBOR+50 basis points. Settlement payments are ma semiannually. Whis the cash flow for ABank on the first settlement te if the mark-to-market value of the lofalls 1% anLIBOR is 3.5%? A.Net outflow of US1.75 million B.Net inflow of US2.0 million C.Net outflow of US3.75 million Net inflow of US0.25 million is correct.考点Swap解析Note ththis is a semiannupaymentABank pays 100(5.5%/2−1%)100{(5.5\%/2-1\%)}100(5.5%/2−1%). In return, it gets 100(4.0%/2)100{(4.0\%/2)}100(4.0%/2). The net cash flow is 100×(2%−1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million100×(2%−1.75%)=100×1%=0.25million it will receive LIBOR+50 basis points为什么算receive多少的时候不算上50bp啊，就只是3.5% / 2？？

NO.PZ2020033002000069 问题如下 ABank hma a loof US100 million 5.5% per annum anenters into a totreturn swunr whiit will pthe interest on the loplus the change in the marketo-market value of the loan, anin exchange it will receive LIBOR+50 basis points. Settlement payments are ma semiannually. Whis the cash flow for ABank on the first settlement te if the mark-to-market value of the lofalls 1% anLIBOR is 3.5%? A.Net outflow of US1.75 million B.Net inflow of US2.0 million C.Net outflow of US3.75 million Net inflow of US0.25 million is correct.考点Swap解析Note ththis is a semiannupaymentABank pays 100(5.5%/2−1%)100{(5.5\%/2-1\%)}100(5.5%/2−1%). In return, it gets 100(4.0%/2)100{(4.0\%/2)}100(4.0%/2). The net cash flow is 100×(2%−1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million100×(2%−1.75%)=100×1%=0.25million 是不是outfow?

NO.PZ2020033002000069问题如下 ABank hma a loof US100 million 5.5% per annum anenters into a totreturn swunr whiit will pthe interest on the loplus the change in the marketo-market value of the loan, anin exchange it will receive LIBOR+50 basis points. Settlement payments are ma semiannually. Whis the cash flow for ABank on the first settlement te if the mark-to-market value of the lofalls 1% anLIBOR is 3.5%? A.Net outflow of US1.75 million B.Net inflow of US2.0 million C.Net outflow of US3.75 million Net inflow of US0.25 million is correct.考点Swap解析Note ththis is a semiannupaymentABank pays 100(5.5%/2−1%)100{(5.5\%/2-1\%)}100(5.5%/2−1%). In return, it gets 100(4.0%/2)100{(4.0\%/2)}100(4.0%/2). The net cash flow is 100×(2%−1.75%)=100×1%=0.25million100\times\left(2\%-1.75\%\right)=100\times1\%=0.25million100×(2%−1.75%)=100×1%=0.25million RT