题目
You are given the following information about an interest rate swap: ●2-year term ●Semiannual payment ●Fixed rate = 6% ●Floating rate = LIBOR+50 basis points ●Notional principal USD 10 million Calculate the net coupon exchange for the first period if LIBOR is 5% at the beginning of the period and 5.6% at the end of the period.
选项
A.Fixed-rate payer pays USD0
B.Fixed-rate payer pays USD25,000
C.Fixed-rate payer pays USD50,000
D.Fixed-rate payer receives USD25,000
答案
B
解析
●Computational Details for Numerical Answer: ●Fixed rate payer pays 6%, therefore, (0.06/2) × 10 million = USD 300,000. ●Interest rate swaps have payments in arrears. Floating rate payer pays LIBOR rate at the beginning of period 0.50%, i.e. 5% 0.50% = 5.5%. ●Therefore the floating rate payment: (0.055/2) × 10 million = USD 275,000. ●The net payment of USD 25,000 is paid by the fixed rate payer. 因为利率是是一段时间的概念。某一期期末结算的利息其实是由期初利率所决定的。所以这道题就是在说，第一期末交换利息（所以不需折现），是由期初决定的利息，所以选择libor5%。然后就是进行利息轧差了。 (0.06/2)× 10 million = USD 300,000 (0.055/2) × 10 million = USD 275,000 因此对于固定利息的支付者来说：净支付USD25,000