注册 登录
上一主题：Reading 63: Swap Markets and Contracts-LOS g 习题精选
下一主题：Reading 63: Swap Markets and Contracts-LOS d 习题精选
返回列表 发帖
1215

Rank: 4

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-3-25 14:19 | 只看该作者

Reading 63: Swap Markets and Contracts-LOS e 习题精选

interpret, div, center, different, class
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 63: 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)
 4.5143%.
C)
 4.4477%.

 

= 0.022239 × 2 = 4.4477%

 

相关主题：

. Reading 61: Swap Markets and Contracts-LOS e 习题精选

. Reading 53: Term Structure and Volatility of Interest Rates-

. Reading 53: Term Structure and Volatility of Interest Rates-

. Reading 44: Private Company Valuation-LOS c 习题精选

. Reading 8: Probability Concepts-LOS f, (Part 2)习题精选

收藏 分享

1215

Rank: 4

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
2#
发表于 2011-3-25 14:19 | 只看该作者

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.

TOP

1215

Rank: 4

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
3#
发表于 2011-3-25 14:19 | 只看该作者

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)
 $22,564.
B)
 $22,314.
C)
 ?$22,564.

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

TOP

1215

Rank: 4

UID
152243 
帖子
3978 
主题
858 
注册时间
2009-12-15 
最后登录
2011-4-15 
4#
发表于 2011-3-25 14:20 | 只看该作者

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 5.2%
  • 360-day LIBOR is 5.5%
  • Dividend yield on the portfolio = 1.2%

What is the fixed rate on the swap?

A)
 5.4197%.
B)
 5.1387%.
C)
 5.4234%.

TOP

返回列表
上一主题：Reading 63: Swap Markets and Contracts-LOS g 习题精选
下一主题：Reading 63: Swap Markets and Contracts-LOS d 习题精选