标题: Example 8, Reading 52 regarding Swaps [打印本页] 作者: hw0799 时间: 2013-4-28 09:35 标题: Example 8, Reading 52 regarding Swaps
In this example 8, they said that the next floating payment will be 0.045. In my opinion, since we are at day 360 which is the coupon reset date, the next floating payment should be equal to 0.101 divided by 2 = 0.0505, instead of 0.045.
Do I understand it correctly? Please advise me. Thank you.作者: prashantsahni 时间: 2013-4-28 09:35
Thank you for posting it. I do not understand why the floating payment should be included, as it is calculated on payment date and floating payments equal to 1 as it is in reading examples作者: whew1110 时间: 2013-4-28 09:35
You can’t just take the 180-day LIBOR and divide it by 2 to determine the floating rate. The example, “skips” the calculation of how the 0.045 number was arrived at. Go back to example 4 to see how the floating rate was calculated in part B. Example 8 doesn’t include some of the other inputs you’d need to calculate floating rate at the end of the first year. In short, I’d take the 0.045 at its face value without worrying about how it was arrived it.作者: mdfb79 时间: 2013-4-28 09:35
Aether wrote:You can’t just take the 180-day LIBOR and divide it by 2 to determine the floating rate. The example, “skips” the calculation of how the 0.045 number was arrived at. Go back to example 4 to see how the floating rate was calculated in part B. Example 8 doesn’t include some of the other inputs you’d need to calculate floating rate at the end of the first year. In short, I’d take the 0.045 at its face value without worrying about how it was arrived it.
Thank you. I see why I was confused now. The LIBOR rates they give are the current rates, but the floating payment is decided by the rate 180 days before that.作者: cfa10yrplan 时间: 2013-4-28 09:35
Could you please explain why the floating payment is calculated? in the reading examples like 12 on the payment date the value of floating payment is taken equal to 1?作者: bchadwick 时间: 2013-4-28 09:36
floating payment is 4.5% of par - and is given. This treatment is different in #12
