A bank had entered in to a 3-year interest rate swap for a notional amount of USD 300 million, paying a fix rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-yr and 2-yr annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices? A. USD -14million B. USD -4 million C. USD 4 million D. USD 14 million 没有想明白老师上课说floating的价值是300million, 请老师总结下计算swap时候floating部分的计算方法，能结合图片更好，谢谢

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您现在的坐在位置：首页>智汇问答>FRM一级

Iris2018-11-05 23:03:53

A bank had entered in to a 3-year interest rate swap for a notional amount of USD 300 million, paying a fix rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-yr and 2-yr annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices? A. USD -14million B. USD -4 million C. USD 4 million D. USD 14 million 没有想明白老师上课说floating的价值是300million, 请老师总结下计算swap时候floating部分的计算方法，能结合图片更好，谢谢