1.Consider a fixed-for-fixed 1-year $100,000 semiannual currency swap with rates of 5.2 percent in USD and 4.8 percent in CHF, originated when the exchange rate is $0.34. 90 days later, the exchange rate is $0.35 and the term structure is:
| 90 days | 270 days | LIBOR | 5.2% | 5.6% | Swiss | 4.8% | 5.4% |
What is the value of the swap to the USD payer? A) -$2,719. B) $2,814. C) $2,719. D) -$2,814. The correct answer was C) The present value of the fixed payments on one CHF is 0.024/1.012 + 1.024/1.0405 = 1.00786. At the current exchange rate the value is 1.00786 × 0.35 = USD 0.35275. The notional amount is 100,000/.34 = 294,118 CHF so the dollar value of the CHF payments is 0.35275 × 294,118 = $103,750. The present value of the USD payments is (0.026/1.013 + 1.026/1.042) × 100,000 = $101,031. The value of the swap to the dollar payer is 103,750 – 101,031 = $2,719. 2. 90 days ago the exchange rate for the Canadian dollar (C$) was $0.83 and the term structure was
| 180 days | 360 days | LIBOR | 5.6% | 6% | CDN | 4.8% | 5.4%. |
A swap was initiated with payments of 5.3 percent fixed in C$ and floating rate payments in USD on a notional principal of USD 1 million with semiannual payments. 90 days have passed, the exchange rate for C$ is $0.84 and the yield curve is
| 90 days | 270 days | LIBOR | 5.2% | 5.6% | CDN | 4.8% | 5.4% |
What is the value of the swap to the floating-rate payer? A) -$2,708. B) $3,472. C) $10,125. D) -$3,472. The correct answer was C) The present value of the USD floating-rate payments is 1.028/1.013 = 1.014808 × 1,000,000 = $1,014,807. The present value of the fixed C$ payments per 1 CDN is 0.0265/ 1.012 + 1.0265/1.0405 = 1.012731 and for the whole swap amount, in USD is 1.012731 × 0.84 × 1,000,000/.83 = $1,024,932. -1,014,807 + 1,024,932 = $10,125. 3.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 percent. The variable rate at the end of year 1 was 4 percent, at the end of year 2 was 6 percent, and at the end of year 3 was 7 percent. 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) 4 million foreign units. B) $1,750,000. C) $2 million. D) 3,500,000 foreign units. The correct answer was C) 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. 4.Consider a one-year currency swap with semiannual payments. The payments are in U.S. dollars and euros. The current exchange rate of the euro is $1.03 and interest rates are
| 180 days | 360 days | LIBOR | 5.6% | 6.0% | Euribor | 4.8% | 5.4% |
What is the fixed rate in euros? A) 2.659%. B) 5.245%. C) 2.538%. D) 5.318%. The correct answer was D) The present values of 1 euro received in 180 days and 1 euro received in 360 days are: 1/(1 + 0.048 × (180/360)) = 0.9766 and 1/1.054 = 0.9488 The fixed rate in euros is (1 - 0.9488) / (0.9766 + 0.9488) = 0.026592 × (360/180) = 5.318%. The notional principal is 100,000/1.03 = 97,087 euros. 5.The current U.S. dollar ($) 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) pay floating in C$. B) receive floating in C$. C) receive $1 million at the termination of the swap. D) pay C$1,428,571 at the beginning of the swap. The correct answer was D) The receive-fixed C$ 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. | 
发表于 2008-5-14 17:44
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