开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

今天也要来一杯 · 2020年02月24日

问一道题:NO.PZ2017121101000007

问题如下:

A US institutional investor in search of yield decides to buy Italian government bonds for her portfolio but wants to hedge against the risk of exchange rate fluctuations. She enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers US dollars in exchange for euros for use in purchasing the Italian bonds. The notional principals on the swap are most likely exchanged:

选项:

A.

at inception only.

B.

at maturity only

C.

both at inception and at maturity.

解释:

C is correct.

In a cross- currency basis swap, the goals of the transaction are to achieve favorable funding and exchange rates and to swap the foreign currency amounts back to the currency of choice—in this case, the US dollar—at maturity. There is one exchange rate specified in the swap that is used to determine the notional principals in the two currencies, exchanged at inception and at maturity.

请问swap在期初签订的时候是怎么约定(表述)principal和期间现金流的呢?可以举个实际例子么

1 个答案

xiaowan_品职助教 · 2020年02月25日

嗨,努力学习的PZer你好:


同学你好,我们基础班讲义中关于cross-currency basis swap的一道例题就是原版书中一个实际的例子,表述也非常全面,同学可以作为参考。

从原理上来说,就是如果某公司可以借到A货币,但实际需要B货币,那这家公司进入的swap就是在期初收到B货币,这一笔就是principal,而期间的现金流是收A货币利息,支B货币利息。


-------------------------------
努力的时光都是限量版,加油!


  • 1

    回答
  • 3

    关注
  • 937

    浏览
相关问题

NO.PZ2017121101000007 问题如下 A US institutioninvestor in searof yielcis to buy Italigovernment bon for her portfolio but wants to hee against the risk of exchange rate fluctuations. She enters a cross-currenbasis swap, with the same payment tes the bon, where inception she livers US llars in exchange for euros for use in purchasing the Italibon. The notionprincipals on the sware most likely exchange A.inception only. B.maturity only C.both inception anmaturity. C is correct. In a cross- currenbasis swap, the goals of the transaction are to achieve favorable funng anexchange rates anto swthe foreign currenamounts bato the currenof choice—in this case, the US llar—maturity. There is one exchange rate specifiein the swthis useto termine the notionprincipals in the two currencies, exchangeinception anmaturity.中文解析在交叉货币互换中,交易的目标是获得有利的资金和汇率,在期初和期末都需要进行货币的互换,且规定了期初和期末的时候交换名义本金的汇率是一样的。 利率互换和equity swap是不是期初和期末不用交换本金

2022-05-31 20:45 1 · 回答

NO.PZ2017121101000007 maturity only both inception anmaturity. C is correct. In a cross- currenbasis swap, the goals of the transaction are to achieve favorable funng anexchange rates anto swthe foreign currenamounts bato the currenof choice—in this case, the US llar—maturity. There is one exchange rate specifiein the swthis useto termine the notionprincipals in the two currencies, exchangeinception anmaturity. 中文解析 在交叉货币互换中,交易的目标是获得有利的资金和汇率,在期初和期末都需要进行货币的互换,且规定了期初和期末的时候交换名义本金的汇率是一样的。 包括利率和起初期末汇率的

2021-11-22 15:09 1 · 回答

请问,为什么说期初和期末都要交换现金流呢?

2020-05-30 12:36 1 · 回答