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derivatives 期末考題目

請各位高手大大幫我回答下面這一題期末考題目吧!!A fixed-floating rate was arranged exactly one year ago

having a maturity of 3 years

an annual coupon on the fixed leg of 4.75% with semiannual coupon payments

on a notional principal of 50 million dollors. the current zero coupon bond spot prices

which principal equal to one

are displayed a rang of maturities in the following table:Maturity in yearsZero coupon bond price0.5 0.97681.0 0.95321.5 0.92952.0 0.90602.5 0.88273.0 0.8597through rhe swap

you are a receiver of the floating leg coupon and payer of the fixed leg coupon. has your swap value changeed? why is this?請問一下這邊我把spot rate 算出來之後

我coupon的地方所要代入的是semiannual 4.75% 還是 annual 9.5%?
Coupon應該是年利率4.75%題目是在問

現在的公平市價跟你原來承作的價格相比到底差多少

所以你應該是要先算出各期別年化的Zero Coupon Rate

再跟你的4.75%相比

才知道價值是否有變化剛剛算了0.5年跟1年的Zero Coupon Rate

0.5年是4.75%

1年則高於4.75%

你是固定利率端的Payer

所以評估起來你應該是賺錢的才對 參考資料 自己

coupon payments,one year ago,notional principal,annual coupon,in the following,arranged,maturity,swap,equal to,rhe

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