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FRM一级
包含FRM一级传统在线课程、通关课程及试题相关提问答疑;
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老师 writing a covered call 是long stock +sell call,我以为long a covered call 是long stock +sell call
请问老师这种题,计算器算出来的pv是净价还是脏价?是只有在付息日时候的pv算出来是脏价,其余时候(比如结算日:条件不变n=9.75)计算器算出来的pv都是净价吗?还有这个题如果用计算题算出来得时180天后的pv(其余条件不变,n=9.5)是还要加上0时刻的债权利息才是脏价对吗,然后通过折现算出结算日的脏价,再减去AI算得净价
01.单选题 收藏 纠错 Company A can borrow at a fixed rate of 6.0% and a floating rate of LIBOR + 1.0%; but Company A wants to borrow at a floating rate. Company B, which represents a higher credit risk, can borrow at a fixed rate of 8.0% and a floating rate of LIBOR + 2.0%; but Company B wants to borrow at a fixed rate. An investment bank is willing to act as a swap intermediary but will require a net payment of 20 basis points (0.2%) per annum. If the designed swap is equally attractive to both companies, what is Company B’s swap trade with the investment bank; i.e., the swap trade only, not including the underlying borrowing? A Company B pays 5.1% fixed and receives (floating) LIBOR (swap only) B Company B pays 5.6% fixed and receives (floating) LIBOR (swap only) C Company B pays 7.6% fixed and receives (floating) LIBOR (swap only) D Company B pays 8.0% fixed and receives (floating) LIBOR (swap only), 这道题为啥答案是B,要用6%-0.4%,而不是C,用8%-0.4%?
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