NO.PZ2023041003000024
问题如下：
One of the bank’s investments is
exposed to movements in the Japanese yen, and Johnson desires to hedge the
currency exposure. She prices a one-year fixed-for-fixed currency swap
involving yen and US dollars, with a quarterly reset. Johnson uses the interest
rate data presented in Exhibit 3 to price the currency swap.
Exhibit 3 Selected Japanese and US Interest Rate Data
Based
on Exhibit 3, Johnson should determine that the annualized equilibrium fixed
swap rate for Japanese yen is closest to:
选项：
A.
0.0624%.
B.
0.1375%.
C.
0.2496%.
解释：
The equilibrium swap fixed rate for yen is
calculated as
The yen present value factors are calculated as
l 90-day PV factor =1/[0.0005(90/360)]
= 0.999875.
l 180-day PV factor =1/[0.0010(180/360)]
= 0.999500.
l 270-day PV factor =1/[
0.0015(270/360)] = 0.998876.
l 360-day PV factor =1/[
0.0025(360/360)] = 0.997506.
Sum of present value factors = 3.995757.
Therefore, the yen periodic rate is calculated
as
The annualized rate is (360/90) times the
periodic rate of 0.0624%, or 0.2496%.
为什么不选A呢 A的计算过程不是年化了吗
