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YI YU · 2024年10月21日

向上箭头-向下箭头

  1. FRM I
  2. Financial Markets And Products

NO.PZ2023091802000168

问题如下：

Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75% on 10 million US dollars for 3.75% on 15 million Canadian dollars. The current exchange rate is 1 US dollar for 1.52 AUD.. The term structure is flat in both countries. Calculate the value of the swap in USD if interest rates in Canada are 5% and in the United States are 4%. Assume continuous compounding. Round to the nearest dollar.

选项：

A.

$152,000

B.

$145,693

C.

$131,967

D.

$127,818

解释：


which involves exchanging annual interest of 2.75% on 10 million US dollars for 3.75% on 15 million Canadian dollars.

老师好，题目说exchange USD for CAD, 不应该是指付出去USD ，收到CAD吗？为什么不用PV CAD - PV USD 呢？

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1 个答案

李坏_品职助教 · 2024年10月21日

嗨，从没放弃的小努力你好：


开头那一句exchanging USD for CAD，意思是这个swap包含美元换加元的部分。但是最后的计算单位是USD，所以默认的是以USD为本币，收取USD并支付CAD。

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