问一个CFA LII Derivative notes上的题 payments, current, quarter, receive, discount

helen1993

notes上第11题，关于value of fixed and floating payA bank entered into a $5,000,000, 1-year equity swap with quarterly payments 300 years ago.  The bank agreed to pay an annual fixed rate of 4% and receive the return on an international equity index.  The index was trading at 3,000 at the end of the third quarter, 30 days ago.  The current 60-day LIBOR rate is 3.6%, the discount factor is 0.9940, and the index is now at 3,150.  The value of the swap to the bank is closest to.

答案上 value of fixed pay 是0.9940*5,055,000, 我不理解的是为什么在end of the third quater，为什么是5,000,000 * 1.01, 而不是5,000,000 *1.01^3.
求大神解释

e_mailfly

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2018-1-19 16:56

這位同志你好

根據題目是這樣子你看一下。