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mino酱是个小破货 · 2022年05月18日

何时为正何时为负？如果+basis

  1. CFA III
  2. Derivative

NO.PZ2018113001000038

问题如下：

A US company needs to raise ￥20 million because it is planning an expansion into China. It wants to issue dollar-denominated bonds and converts the dollars to Chinese yuan by using a three-year currency swap with annual payments. Spot rate is 7 RMB/UAD, the swap rate of US dollars is 2% and the swap rate of Chinese yuan is 3%. The US company pays (in millions):

选项：

A.

interest in RMB of 0.6 million and receives interest in USD of 0.045 million

B.

interest in RMB of 0.6 million and receives interest in USD of 0.057 million

C.

interest in USD of 0.057 million and receives interest in RMB of 0.6 million

解释：

B is correct.

考点：currency swap改变loan币种

解析：

期初交换本金：收到人民币本金=20 million，支付美元本金=20/7=2.8571 million

期间交换利息：支付人民币利息=20*0.03=0.6million，收到美元利息=2.8571*0.02=0.057milion


同学你好~

其实加上或者减去basis都可以的哈

为什么这么说呢？是因为题目本身只是告诉我们basis是跟着非美元一端的，所以只要在非美元一端的利率上加上一个basis就可以啦。但是注意加上的这个basis其实是可正可负的。所以即便我们说非美元一端是减去一个basis，也不影响它是可正可负的这个性质的。

这里题目作为一个非常开放的主观题，所以答案只是一种常见的表达方式，实质上加上或者减去basis都可以哒

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1 个答案

Hertz_品职助教 · 2022年05月18日

嗨，从没放弃的小努力你好：


同学你好

同学的这个提问是关于basis的正负问题哈，并没有针对这道题目。

我在同学上面的一个提问中，就basis的正负和大小问题，借着那道题目的背景做了解释了哈。

烦请同学转到上一条提问下看看哈~~

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努力的时光都是限量版，加油！

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