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发表于 2011-3-25 14:17 | 只看该作者

Reading 63: Swap Markets and Contracts-LOS d 习题精选

interpret, determine, different, 2011, class
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 63: Swap Markets and Contracts

LOS d: Calculate and interpret the fixed rate, if applicable, and the foreign notional principal for a given domestic notional principal on a currency swap, and determine the market values of each of the different types of currency swaps during their lives.

 

 

The current U.S. dollar ($) to Canadian dollar (C$) exchange rate is 0.7. In a $1 million currency swap, the party that is entering the swap to hedge existing exposure to C$-denominated fixed-rate liability will:

A)
 receive floating in C$.
B)
 pay C$1,428,571 at the beginning of the swap.
C)
 pay floating in C$.

 

The receive-fixed C$ position will pay 1,000,000/0.7 = C$1,428,571 at swap inception (in exchange for $1 million) and get it back at termination.

 

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2#
发表于 2011-3-25 14:18 | 只看该作者

A U.S. firm (U.S.) and a foreign firm (F) engage in a plain-vanilla currency swap. The fixed rate at initiation and at the end of the swap was 5%. The variable rate at the end of year 1 was 4%, at the end of year 2 was 6%, and at the end of year 3 was 7%. At the beginning of the swap, $2 million was exchanged at an exchange rate of 2 foreign units per $1. At the end of the swap period the exchange rate was 1.75 foreign units per $1.

At the termination of the swap, firm F gives firm U.S.:

A)
 $1,750,000.
B)
 $2 million.
C)
 4 million foreign units.

At termination, the notional principal will be exchanged. Firm F gives back what it borrowed, $2 million, and the terminal exchange rate is not used.

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