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标题: currency swap [打印本页]

作者: hoangvu90 时间: 2011-7-13 16:17 标题: currency swap

Pay USD fixed
receive AUD floating

Domestic notional USD10, 000,000
Foreign AUD 12,500,000

Present value fixed USD 1.025
Present value floating payments AUD 1.015

Current exchange rate USD.90/AUD

current value of the pay fixed USD receive AUD floating swap in US dollars is:

a. 1,000,000
b. 1,115,000
c.1.168,750

by the way anyone writting on SUNDAY( religious alternative day) from DC?

作者: ppls 时间: 2011-7-13 16:17

c?

1.025 x 10m usd = x

1.015 x 12.5m aud x 0.9 = y

x-y = -1,168,750

Is that right?

作者: defour44 时间: 2011-7-13 16:17

b?

I am wrong the answer should be C.

Edited 1 time(s). Last edit at Monday, May 31, 2010 at 10:07AM by idreesz.

作者: WarrenB1 时间: 2011-7-13 16:17

C)

Pay USD Fixed: 1.025 * 10,000,000 = 10,250,000

Receive AUD Floating = 1.015 * 12,500,000 * 0.9 = 11,418,750

So Current Value = 11,418,750-10,250,000=1,168,750

CP

作者: mp3bu 时间: 2011-7-13 16:17

C

I think it's better to see this q the way CFA has is, with beginning currencies/ending currencies, libor rates, etc

作者: Houjichasan 时间: 2011-7-13 16:17

let me just post a swaps question and walk away for two hours :-)

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