Iris
2018-11-05 23:03A bank had entered in to a 3-year interest rate swap for a notional amount of USD 300 million, paying a fix rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-yr and 2-yr annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices? A. USD -14million B. USD -4 million C. USD 4 million D. USD 14 million 沒有想明白老師上課說(shuō)floating的價(jià)值是300million, 請(qǐng)老師總結(jié)下計(jì)算swap時(shí)候floating部分的計(jì)算方法，能結(jié)合圖片更好，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
金程教育吳老師助教
2018-11-06 17:15
該回答已被題主采納
學(xué)員你好。如圖
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追問(wèn)
好的，謝謝老師詳細(xì)的推導(dǎo)過(guò)程，想問(wèn)下如果floating不等于LIBOR的情況， 能不能總結(jié)一下？
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追答
當(dāng)浮動(dòng)利率不等于LIBOR的時(shí)候，這個(gè)時(shí)候就不等于面值了，由于l1 l2 l3是分別要在0時(shí)刻 1時(shí)刻 2時(shí)刻才能確定的，所以無(wú)法在0時(shí)刻計(jì)算浮動(dòng)利率債券價(jià)值（只有一期是可以計(jì)算的），因?yàn)槔饰粗?/p>
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