1個(gè)回答
金程教育吳老師助教
2018-04-16 09:52
該回答已被題主采納
學(xué)員你好。
Step1.calculate value of fixed bond Party A = 25,000,000 × 8.29%/2 = $1,036,250
Step2.calculate value of floating bond Party B = 25,000,000 × 7.65%/2 = $956,250
Net payment swap = 1,036,250 - 956,250 = $80,000
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追問
floating bond的部分為什么不是(7.65%+30bp)/2
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追答
LIbor是7.35% Libor+30bps=7.65% floating bond的部分是7.65%/2
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