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标题: Reading 61: Swap Markets and Contracts-LOS e 习题精选 [打印本页]

作者: 土豆妮 时间: 2010-4-22 11:13 标题: [2010]Session 17-Reading 61: Swap Markets and Contracts-LOS e 习题精选

Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts

LOS e: Calculate and interpret the fixed rate, if applicable, on an equity swap and the market values of the different types of equity swaps during their lives.

Consider a fixed-rate semiannual-pay equity swap where the equity payments are the total return on a $1 million portfolio and the following information:

180-day LIBOR is 4.2%
360-day LIBOR is 4.5%
Div. yield on the portfolio = 1.2%

What is the fixed rate on the swap?

A)
4.3232%.

B)
4.4477%.

C)
4.5143%.

(1 – 1/1.045) / (1/1.021 + 1/1.045) = .022239 × 2 = 4.4477%

作者: 土豆妮 时间: 2010-4-22 11:14

Consider a $5 million semiannual-pay floating-rate equity swap initiated when the equity index is 760 and 180-day LIBOR is 3.7%. After 90 days the index is at 767, 90-day LIBOR is 3.4 and 270-day LIBOR is 3.7. What is the value of the swap to the floating-rate payer?

A)
?$3,526.

B)
?$2,726.

C)
$3,526.

1.0185 = 1 + 0.037(180/360)

1.0085 = 1 + 0.034(90/360)

767/760 – 1.0185/1.0085 = ?0.00070579 × 5,000,000 = ?$3,526

Note: The 1.0185/1.0085 is the present value of the floating rate side after 90 days.

作者: 土豆妮 时间: 2010-4-22 11:14

Consider a semiannual equity swap based on an index at 985 and a fixed rate of 4.4%. 90 days after the initiation of the swap, the index is at 982 and London Interbank Offered Rate (LIBOR) is 4.6% for 90 days and 4.8% for 270 days. The value of the swap to the equity payer, based on a $2 million notional value is closest to:

A)
$22,314.

B)
?$22,564.

C)
$22,564.

?$22,564 is the value to the fixed-rate payer, thus $22,564 is the value to the equity return payer.

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