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SkipperLin · 2020年09月18日

问一道题：NO.PZ2019052801000050

  1. FRM I
  2. Financial Markets And Products

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%

The Australian term structure is:

  • 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：

期初和期末美国公司收美元本金和利息的价值：

lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227

期初和期末美国公司支澳大利亚元本金和利息的价值：

lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411

lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\div1.2)\times1,0000,000=166,385

想请问一下counpon rate的0.9%和1%怎么来的呀

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品职答疑小助手雍 · 2020年09月18日

第一句话说了quarterly reset，所以把年化coupon除以4就得到0.9%和1%了

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NO.PZ2019052801000050问题如下A US company entereinto a one-yecurrenswwith quarterly reset six months ago. The notionprinciple is $1,000,000, the swap’s initiation, the US company receives the notionamount in Australillars anpays to the counterparty the notionamount in US llars. the swap’s expiration, the US company pays the notionamount in Australillars anreceives from the counterparty the notionamount in US llars.The annufixeswrates for Australillars is 4% anfor US llars 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% The Australiterm structure is: r(90)=3.82% r(180)= 4.1%Whis the value of the currenswto US company? A.$-142,145million.B.$142,145million.C.$166 ,385.$-166 ,385. 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lB  $  =0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227{l}B_{\;\$}\;=0.009e^{-0.0358\times0.25}+1.009e^{-0.0374\times0.5}\\=0.999227lB$​=0.009e−0.0358×0.25+1.009e−0.0374×0.5=0.999227美国公司支澳大利亚元本金和利息的价值lB  A$  =0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411{l}B_{\;A\$}\;=0.01e^{-0.0382\times0.25}+1.01e^{-0.041\times0.5}\\=0.999411lBA$​=0.01e−0.0382×0.25+1.01e−0.041×0.5=0.999411lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385{l}V=(0.999227-0.999411\v1.2)\times1,0000,000=166,385lV=(0.999227−0.999411÷1.2)×1,0000,000=166,385 1、“本题是1年期的swap，每季度交换一次，已经过了半年了，求value的问题”求的不是0时刻签约的value？那是求1年到期，现在的value？2、FRM考试只要给了利率没说怎么计息，就用连续复利吗？

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