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malbec

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tT
发表于 2013-4-4 05:44 | 只看该作者

CFAI Mock Morning #10 Currency Swap

correct, example, factors
Can someone explain how the PV factors were calculated on this problem. Since it is a fixed for fixed swap the rates don’t change 45 days later correct?
I came up with the fixed rate of 0.046 but I did not get the correct PV factors for the 45 days later e.g. the (.9976 + .9909 + .9834 + .9674).
For example for the .9674 I came up with 1 / 1 + (.0184 X (315/360)) = .98415
Does anyone see what I did wrong? Thanks
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invic

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发表于 2013-4-4 05:55 | 只看该作者
I believe this was an error in the question….check out the errata on this to confirm…They should have provided the 45 day rates

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invic

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3#
发表于 2013-4-4 05:58 | 只看该作者
They mixed up the days in example 1 & 2. Maddening since it took me a 1/2 hour to try and figure it out.

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lc26mizzou

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4#
发表于 2013-4-4 06:02 | 只看该作者
No. The payments which are still left, which is all of them in this case, they will be based on the new PVs. The new Hibor rates were given at the bottom, it wasnt labelled correctly as per the new errata.
You need to take the fixed rate and multiply it by the new PVs + 1 notional * the last PV.
The example you gave should be 1/[1+0.0385(315/360)] = 0.967

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