桑同學(xué)
2019-08-11 15:03he LIBOR curve is flat at 2.0% per annum with continuous compounding for all maturities (out to 15 months), including the six-month LIBOR at the last payment date was also 2.0% 老師好，根據(jù)上面一段話，哪里可以看出支固定的折現(xiàn)率是2%？ 另外，對(duì)于收浮動(dòng)，如果在3月時(shí)點(diǎn)上的現(xiàn)金流，除了本金，對(duì)于利息的計(jì)算是按照前一期規(guī)定的利率計(jì)算的吧？就是對(duì)于本題里面計(jì)算得出的1， 另外，對(duì)于收浮動(dòng)，在3月時(shí)點(diǎn)上的折現(xiàn)率是2%，這個(gè)哪里可以看出來(lái)？ 謝謝
所屬：FRM Part I 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Adam助教
2019-08-12 11:46
該回答已被題主采納
同學(xué)你好，
1.The LIBOR curve is flat at 2.0% per annum with continuous compounding for all maturities (out to 15 months),說(shuō)的就是libor作為折現(xiàn)率一直都是2%（利率曲線是平的 curve is flat）
2.是的。前一期規(guī)定的利率是2%半年計(jì)息：the six-month LIBOR at the last payment date was also 2.0% (but with semiannual compounding).
3.這個(gè)2%也是根據(jù)利率曲線平的，得出的
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