因为完全没有学过相关的东西，只好来这边请求帮助 麻烦板上各位大大了 m(_ _)m 题目如下： 1. The following is a quote of a 7-year swap from BankCorp. Maturity Treasury Bid swap Ask Swap Effective fixed (tenor) yield (%) spread (bp) spread (bp) swap rate (%) 7 7.42 35 39 7.77 - 7.81 Your company (Company Y) enters into a swap (receive-floating/pay-fixed) with Bankcorp. In the meantime, Company X enters into the other side of the swap (receive-fixed/pay-floating) with Bankcorp. The notional principal of the swaps is $100 million, and settlement is annual. Company Y has an outstanding debt with floating rate LIBOR+1%, and Company X has an outstanding debt with fixed coupon rate 8%. Both debts have par $100 million and have 7 years to maturity. Coupons are paid annually on the same date of swap cash settlement. In the below diagram, label the rates of cash flow for each annual settlement. http://img251.imageshack.us/i/20101018203911.png/ What is the effective cost of Company Y’s financing? What is the effective cost of Company X’s financing? 2. Assume you bought $1million of this bond. Now you want to hedge the interest rate risk of your bond. Discuss how you shall you use 10-year-Treasury-bond futures to maintain a zero Duration for your portfolio. What does zero Duration mean? 多谢回答，不胜感激 --

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