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Have a question on Mock 30, Question 114
Statement 6: Suppose that you planned to issue a 100M FRN in 90 days time that has a 180-day term and coupon payments that reset every 90 days at the 90-day LIBOR. You would want a European swaption with a notional principal amount of 100M and a 90-day expiry at the time of FRN issuance. The data for this example is presented in Exhibit 1
Today In 90 days
90-day US LIBOR 3.5% 4%
180-day US LIBOR 3.85% 4.35%
Fixed rate on Swaption 3.9% n/a
Fixed rate on Swap n/a 4.32%
90-day discount factor 0.9913 0.9901
180-day discount factor 0.9811 0.9787
114) Based on Statement 6 and Exhibit 1, the market value of the swaption at expiration would be closest to:
a) 206,725
b) 207,764
c) 208,961
The answer they give is (105,000 x 0.9901) + (105,000 x 0.9787) = 206,725
How did they get 105,000? And what is the logic to this answer?
Thanks |
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发表于 2013-8-18 12:29
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