关于商业银行利率互换的一道计算题,应该不难- -~
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发布时间:2022-04-25 15:53
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热心网友
时间:2023-10-14 21:52
解题前补充几个您没有提到的关键要素先:ISDA项下,Modified Followings, 30/360 (实际情况下Libor 3M 3750都会用A/360的,我这里方便计算就偷懒了,而且你也没有说是闰年否)
1) Loan
01-Jan pay $10mio
01-Jul receive $10mio * (1+10%/2)
2) Internal Depo
01-Jan receive $10mio
01-Apr pay 10mio * (1+8%/4)
3) Inter-bank Depo
01-Apr receive $10mio
01-Jul pay $10mio * (1+9%/4)
4) Inter-bank FRA
01-Apr recive $10mio * (9%-8%)/4
热心网友
时间:2023-10-14 21:52
好难( ⊙ o ⊙ )啊!~~~十六年级的吗?为什么跟我们学的不一样(郁闷ing)