NO.PZ201601050100001901
问题如下：
Explain how to construct the swap that Tioga wants to use with regard to the swap:
i. tenor
ii. cash flows
iii. notional value
iv. settlement dates
选项：
解释：
Explain how to construct the swap that Tioga wants to use with regard to the
swap:
i. The swap tenor will be three years, consistent with the length of time for
which Tioga expects interest rates to remain low.
ii. Tioga will establish an interest rate swap in which Wyalusing will make payments based on a floating reference rate and will receive payments based on
a fixed rate. The source of the reference rate and the value of the fixed rate
will be set at the time of the swap’s inception. The net effect for Wyalusing
of the combination of making fixed payments on its coupon bond, receiving
fixed payments on the swap, and making floating payments on the swap is to
convert the fixed obligations of its bond coupon payments into floating-rate based obligations. This scenario will allow Wyalusing to benefit if Tioga’s
expectation of low interest rates is realized.
iii.The notional value of the swap should be set such that the fixed payments that Wyalusing receives will equal the fixed coupon payments that
Wyalusing must make on its fixed-rate bond obligations.
v. Swap settlement dates should be set on the same days as the fixed-rate
bond’s coupon payment dates.
中文解析：
本题考察的是利用利率互换来改变负债的性质。
一年前，公司在加拿大发行了固定息票债券。Tioga现在预计加拿大利率将会下降，并在未来三年内保持在低位。在这三年期间，Tioga希望使用利率互换来有效地将固定利率债券的息票支付转换为浮动利率支付。这样在低利率水平下，支付的票息就会下降，对公司有利。
该互换需要满足以下四点：
1. 需要进入一个收到固定支付浮动的互换中。其中互换的期限是三年，和预测的低利率维持的时间一样长；
2. 是作为收到固定支付浮动的一方，并且使得收到的固定和在原来固定利率债券中支付的固定一样，从而相互抵消，将其债券息票支付的固定义务转换为基于浮动利率的义务。在这种情况下如果Tioga的低利率预期得以实现，这种情况将使Wyalusing受益。
3. 互换的名义本金应设定为使得Wyalusing获得的固定收益与Wyalusing必须支付的固定息票收益相等的金额。
4. 互换的结算日期应与固定利率债券的息票支付日期相同。
“3. 互换的名义本金应设定为使得Wyalusing获得的固定收益与Wyalusing必须支付的固定息票收益相等的金额。”具体就是关于swap 本金的计算公式吧？
