NO.PZ201601050100001902
问题如下：
Wyalusing will soon be building a new manufacturing plant in the United States.
To fund construction of the plant, the company will borrow in its home currency of
CAD because of favorable interest rates. Tioga plans to use a cross-currency basis
swap so that Wyalusing will borrow in CAD but make interest payments in USD.
Describe how the swap will function, from the perspective of Wyalusing, in
terms of the:
i. cash flows at inception.
ii. periodic cash flows.
iii. cash flows at maturity.
选项：
解释：
Describe how the swap will function, from the perspective of Wyalusing, in
terms of the:
i. At inception, Wyalusing will pay the notional principal of CAD and will
receive an amount of USD according to the USD/CAD exchange rate,
agreed to at inception.
ii. At each swap payment date, Wyalusing will receive interest in CAD and will
pay interest in USD. Both payments are based on floating reference rates
for their respective currencies. The CAD rate will also include a basis rate
that is quoted separately. On each settlement date, Wyalusing will receive an amount of CAD based on the CAD floating rate minus the basis rate applied
to the swap notional value, and it will pay an amount of USD based on the
USD floating rate and the USD/CAD exchange rate that was set at inception.
iii. At maturity, Wyalusing will receive the notional principal of CAD and will
pay an amount of USD according to the USD/CAD exchange rate that was
set at inception, applied to the CAD notional principal. The cash flows at
maturity are the inverses of the cash flows at inception.
中文解析：
本题考察的是cross-currency basis swap。
Wyalusing公司要在美国建立一个新的制造工厂，因此需要美元。但该加拿大的公司在本国借款更有优势，利率更低，因此他在本国借CAD，再通过cross-currency basis swap将其转换为USD。
期初：将约定一个在期初和期末交换名义本金时使用的汇率，然后Wyalusing将支付CAD的名义本金，并根据约定好的这个汇率收到对应金额的美元本金。
期间：在每个互换日，Wyalusing将收到CAD利息，并支付美元利息，支付和收到的利息都是基于各自币种的浮动利率和名义本金来计算的，另外收到的CAD利率中包括一个basis。因此在每个结算日期,Wyalusing将收到基于CAD浮动利率-basis计算出来的利息,同时支付一笔基于美元的浮动利率和美元本金计算出来的美元利息。
期末：和期初的现金流方向相反，将会收到一开始换出去的CAD，同时支付一开始时收到的美元金额。结束整个互换。
swap 最后一期没有利息交换吗？
