請教兩個期貨問題 - 金融分析師

因為完全沒有學過相關的東西，只好來這邊請求幫助
麻煩板上各位大大了 m(_ _)m

題目如下：

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?


多謝回答，不勝感激

--