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LorrinCFA

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发表于 2011-7-13 13:51 | 只看该作者

2011 CFA Mock - AM Question 10

understand, one, payments, principal, 2011
Someone PLEASE help me to understand question #10, I can't get the right answer even with the answer key.

Per HK$1 of notional principal the PV of the fixed payments revecied on the Hong Kong dollar = (0.0046) x (0.9976+.....

How does one get 0.0046? I get 0.0083, what am I doing wrong?

Thanks!

 

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Otabek

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发表于 2011-7-13 13:51 | 只看该作者
You have to use Hibor rates to get the periodic fixed rate.

1/(1+0.0122(90/360)) = 0.99696

1/(1+0.153(180/360)) = 0.9924

1/(1+0.017(270/360)) = 0.9874

1/(1+0.187(360/360)) = 0.98164

1-last PV/sum of PVs = 0.00464

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