衍生性商品的作業解答
有那位神通廣大的大大能幫我解答問題我想破頭都想不出來，贈點數20點
Q1
A和B公司已個別取得$20百萬的五年貸款,其所獲得之報價如下列所示:
固定利率 浮動利率
A公司 12.0% LIBOR+0.1%
B公司 13.4% LIBOR+0.6%
但A公司需要浮動利率貸款;而B公司需要固定利率貸款.請設計一個交換契約由銀行中介,每年淨賺0.1%,且對A、B兩家公司有同等吸引力。
Q2
On August 1,a portfolio manager has a bond portfolio worth $10 million. The duration of the portfolio in October will be 7.1 years. The December Treasury bond futures price is currently 91-12 and the cheapest-to-deliver bond will have a duration of 8.8 years at maturity. How should the portfolio manager immunize the portfolio against changes in interest rates over the next 2 months？
Q3
Suppose that the 300-days LIBOR zero rate is 4% and Eurodollar quotes for contracts maturing in 300, 398, and 489 days are 95.83, 95.62, and 95.48. Calculate 398-day and 489-day LIBOR zero rates. Assume no difference between forward and futures rates for the purposes of your calculations.
2 個解答
- 承熹Lv 61 0 年前最佳解答
1.
A 借固定有比較利益
B 借浮動有比較利益
之間有0.9% 的好處可以瓜分
但因為要給銀行0.1%的好處
所以雙方還可各分得0.4%的好處
A借固定付12%
與銀行交換收z, 付 LIBOR
A的淨成本必須為LIBOR-0.3%
所以12%+LIBOR-z=LIBOR-0.3%
z=12.3%
B借浮動付 LIBOR+0.6%
與銀行交換付y, 收 LIBOR
B的淨成本必須為13%
所以0.6%+LIBOR+y-LIBOR=13%
y=12.4%
2.
債券投組的Dollar Duration=10,000,000*7.1
期貨的Dollar Duration=(91+12/32)/100*100,000*8.8
所以將債券投組的Dollar Duration除以期貨的Dollar Duration即可
第三題有空再答
這都是 John Hull 那本書的習題吧
參考資料： 自己