开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

苏·Xu · 2022年10月21日

NO.PZ2018062006000081

问题如下:

There is a two-year FRN with quoted margin at 50 basis points and the reference rate is 6-month Libor. The current 6-month Libor is 1.2% which is supposed to be constant for the following 2 years and the floater is priced at 95 per 100 of par value. Please calculate the discount margin for the floater assuming a 30/360 day-count convention and evenly spaced periods.

选项:

A.

298 bps

B.

314 bps

C.

217 bps

解释:

B is correct.

First we need to calculate the interest payment each period:

{(6-month Libor+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85

then calculate the discount rate per period :

95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}

r=2.168%

Now, solve for DM:

1.2%+DM2=2.168%\frac{1.2\%+DM}2=2.168\%

DM = 3.14%

考点:浮动利率债券

解析:知道浮动利率债券当前的债券价格和分子的Coupon rate,先反求出折现率,利用计算器:PV= -95,FV=100,PMT=0.85,N=4,得到I/Y=2.168

再利用折现率反求出discount margin:2.168%=(1.2%+DM)/2,求得DM=3.14%,故选项B正确。

题目只是给了6个月的libor, 哪里可以看出半年付息一次?

1 个答案

吴昊_品职助教 · 2022年10月21日

嗨,爱思考的PZer你好:


给了6-month XXX,就说明债券是半年付息一次。倘若换一下条件,变成了3-month XXX,就说明债券是三个月付息一次的。

考试中所有利率默认都是年化的,题目中给出的所有利率也都是年化的形式。Quoted margin=50bp、Libor=1.2%,这两个利率都是年化的形式。做题时需要去年化,除以2得到一期的利率。

----------------------------------------------
加油吧,让我们一起遇见更好的自己!

  • 1

    回答
  • 0

    关注
  • 41

    浏览
相关问题

NO.PZ2018062006000081 问题如下 There is a two-yeFRN with quotemargin 50 basis points anthe referenrate is 6-month MRR. The current 6-month MRR is 1.2% whiis supposeto constant for the following 2 years anthe floater is price95 per 100 of pvalue. Please calculate the scount margin for the floater assuming a 30/360 y-count convention anevenly spaceperio. A.298 bps B.314 bps C.217 bps B is correct.First we neeto calculate the interest payment eaperio{(6-month MRR+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85then calculate the scount rate per perio:95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}95=1+r0.85​+(1+r)20.85​+(1+r)30.85​+(1+r)40.85+100​r=2.168%Now, solve for :1.2%+2=2.168%\frac{1.2\%+}2=2.168\%21.2%+​=2.168% = 3.14%考点浮动利率债券解析知道浮动利率债券当前的债券价格和分子的Coupon rate,先反求出折现率,利用计算器PV= -95,FV=100,PMT=0.85,N=4,得到I/Y=2.168再利用折现率反求出scount margin2.168%=(1.2%+)/2,求得=3.14%,故B正确。 题目中的6-month MRR、quotemargin、scount margin,都是年化的利率吗?我理解的语境是6个月的利率。

2023-01-16 16:25 1 · 回答

NO.PZ2018062006000081问题如下 There is a two-yeFRN with quotemargin 50 basis points anthe referenrate is 6-month MRR. The current 6-month MRR is 1.2% whiis supposeto constant for the following 2 years anthe floater is price95 per 100 of pvalue. Please calculate the scount margin for the floater assuming a 30/360 y-count convention anevenly spaceperio. A.298 bpsB.314 bpsC.217 bps B is correct.First we neeto calculate the interest payment eaperio{(6-month MRR+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85then calculate the scount rate per perio:95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}95=1+r0.85​+(1+r)20.85​+(1+r)30.85​+(1+r)40.85+100​r=2.168%Now, solve for :1.2%+2=2.168%\frac{1.2\%+}2=2.168\%21.2%+​=2.168% = 3.14%考点浮动利率债券解析知道浮动利率债券当前的债券价格和分子的Coupon rate,先反求出折现率,利用计算器PV= -95,FV=100,PMT=0.85,N=4,得到I/Y=2.168再利用折现率反求出scount margin2.168%=(1.2%+)/2,求得=3.14%,故B正确。 scount margin是什么

2022-12-05 09:58 1 · 回答

NO.PZ2018062006000081 问题如下 There is a two-yeFRN with quotemargin 50 basis points anthe referenrate is 6-month Libor. The current 6-month Libor is 1.2% whiis supposeto constant for the following 2 years anthe floater is price95 per 100 of pvalue. Please calculate the scount margin for the floater assuming a 30/360 y-count convention anevenly spaceperio. A.298 bps B.314 bps C.217 bps B is correct.First we neeto calculate the interest payment eaperio{(6-month Libor+QM) × FV}/m={(0.012+0.005) × 100}/2=0.85then calculate the scount rate per perio:95=0.851+r+0.85(1+r)2+0.85(1+r)3+0.85+100(1+r)495=\frac{0.85}{1+r}+\frac{0.85}{(1+r)^2}+\frac{0.85}{(1+r)^3}+\frac{0.85+100}{(1+r)^4}95=1+r0.85​+(1+r)20.85​+(1+r)30.85​+(1+r)40.85+100​r=2.168%Now, solve for :1.2%+2=2.168%\frac{1.2\%+}2=2.168\%21.2%+​=2.168% = 3.14%考点浮动利率债券解析知道浮动利率债券当前的债券价格和分子的Coupon rate,先反求出折现率,利用计算器PV= -95,FV=100,PMT=0.85,N=4,得到I/Y=2.168再利用折现率反求出scount margin2.168%=(1.2%+)/2,求得=3.14%,故B正确。

2022-07-31 22:29 1 · 回答

NO.PZ2018062006000081 Now, solve for : 1.2 % + M 2 = 2.168 % 2 1.2%+ ​=2.168% 我真的看不懂。。。我把iy算出来我就不知道怎么算了。。

2021-02-13 00:20 1 · 回答