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。
如题：
1）如果在外国（加拿大）借贷更合适，是因为在外国借贷比在本国（美国）借贷的利率(Rb)更低，还是因为外币的basis point（BPb)是负数导致整体cost of borrowing降低?
2）如果外币的basis point (BPb)是负数，本币的basis point (BPa)是相同值的正数吗？BPa=-BPb?
3）如果外币的basis（BPb) 是负数，说明外币(FXb)走弱，本币(FXa)走强吗？
4）如果在外国借贷，期初为什么要把外币换成本币？
我的理解是：期间实际发生了两笔交易，第一笔交易是借了外币，第二笔交易才是用借到的外币换了本币。
5）如果期初把外国货币换成了本国货币，期间为什么会收到外币利息，支付本币利息？外币通过互换已经支付出去了，为什么还要付息？
我的理解是：期间会发生三笔利息，第一笔是支付外币(-Rb)的借款利息；第二笔是收取外币利息(+Rb-BPb)，因为互换中支付外币相当于lend外币；第三笔是支付本币利息(-Ra)，因为互换中收取本币相当于borrow本币。
6）期间收益怎么计算？
我的理解是：第一笔支付的外币利息和第二笔收取的外币利息可以相互抵消，所以相当于净收入=-BPb-Ra。我算出来的payoff是个很大的亏损，这应该有问题。
