[原创]L2 MOCK am 53 原创, market, value

ylc1000

小弟看不太懂解答所寫的公式關於market value of swap，在notes上也沒看過此公式，請高手幫忙解釋一下，謝謝

karlwei

1.Constructing a zero coupon yield curve

2.Extrapolating a forecast of future interest rates to establish the amount of each future floating rate cash flow
3.Deriving discount factors to value each swap fixed and floating rate cash flow
4.Discounting and present valuing all known (fixed) and forecasted (floating) swap cash flows.

 

 

market value of swap equals to the present cash flow diffierence betweeen the floating player and fixed player.

iodine1

to 楼主：那个公式应该是教材上的吧。不过其实道理是一样的，notes上也都有的，只是表达不同。100天后，fix payer要付的cash flow是360天和720天的0.0499的interest，也就是260天和620天from T100. 然后你把那两个cash flow用100天当时的新的term来discount到T100. 而fix payer可以得到的equity的exposure就相当于index的return。index的return是S100/S0再减去720天时候的$1 discount到T100。

 

to 二楼：u dont extrapolate the interest rate in the future, or forecast it. coz the value of the float rate part is actually also fixed. The value is par on any settlement day and the settlement interest rate was determined on the previous settlement date.

karlwei

hi, iodine1. Thank you for correcting. 

Well, I just give general method to cacualte the  market value of swap.

ylc1000

謝謝3樓的回覆，但小弟不明白  index的return是S100/S0再减去720天时候的$1 discount到T100  為何要這樣減啊