176****6082
2023-09-23 23:26老師不明白0.75期的libor為什么是2.21%?然后rf為什么是2.2%?
所屬:FRM Part I > Financial Markets and Products 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
2023-09-24 13:18
該回答已被題主采納
同學(xué)你好,
題目說(shuō)了:risk-free rates with continuous compounding is assumed to be the LIBOR zero rate, and currently, it is 2.20% for all maturities.
即rf是連續(xù)復(fù)利形式下的2.2%
又因?yàn)椋築ecause the LIBOR zero rate curve is flat at 2.20%,即浮動(dòng)利率在0-0.75這段時(shí)間libor也是一個(gè)固定值,也是連續(xù)復(fù)利的2.2%。但這個(gè)互換是每半年交換一次,所以一般來(lái)說(shuō)在交換時(shí)利息的計(jì)算應(yīng)該使用的是半年復(fù)利。
比如-0.25-0.25利息的計(jì)算就是半年復(fù)利對(duì)應(yīng)的利率,因此0.25-0.75這段時(shí)間利息的計(jì)算也應(yīng)該是半年復(fù)利對(duì)應(yīng)的利率,于是需要把連續(xù)復(fù)利2.2%轉(zhuǎn)換為半年復(fù)利2.21%
