NO.PZ2019052801000050
问题如下:
A US company entered into a one-year currency swap with quarterly reset six months ago. The notional principle is $1,000,000, At the swap’s initiation, the US company receives the notional amount in Australian dollars and pays to the counterparty the notional amount in US dollars. At the swap’s expiration, the US company pays the notional amount in Australian dollars and receives from the counterparty the notional amount in US dollars.The annual fixed swap rates for Australian dollars is 4% and for US dollars is 3.6%.The current spot exchange rate is A$1.2 / $ .
The US term structure is:
-
r(90)=3.58%
- r(180)= 3.74%
- r(90)=3.82%
- r(180)= 4.1%
What is the value of the currency swap to US company?
选项:
A.$-142,145million.
B.$142,145million.
C.$166 ,385.
D.$-166 ,385.
解释:
C is correct.
考点:货币互换估值.
解析:
美国公司收美元本金和利息的价值:
美国公司支澳大利亚元本金和利息的价值:

- 我看了一下 Example & Other Currency Swaps的例题,题干是有说不同currenc所对应的NP。这里没说就是默认NP都是1mm咯?
- 货币互换是不是期初交换(1mm的AUD和1mm的USD),期末再换回来,名义本金的金额不变?
- 我的图是ok的吧?最后的答案差了一点点,应该是小数点之后少取了几位。