海同學(xué)
2021-05-04 08:2418、A currency swap has a remaining life of 15 months with pay dates at 3 and 15 months. It involves exchanging interest at 14% on ￡20 million for interest at 10% on $30 million once a year. The term structure of interest rates in both the United Kingdom and the United States is currently flat, and if the swap were negotiated today the interest rates exchanged would be 8% in dollars and 11% in sterling. All interest rates are quoted with annual compounding. The current exchange rate (dollars per pound sterling) is 1.6500. What is the value of the swap to the party paying dollars?不是每年以2000萬英鎊14% 的利息換取3000萬美元10% 的利息。那現(xiàn)金流不是支出英鎊，收美元嗎？為什么老師說是指美元收英鎊？
所屬：FRM Part I > Financial Markets and Products 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Adam助教
2021-05-05 19:37
該回答已被題主采納
同學(xué)你好，互換價值，要看題目最后怎么問。
給你一個互換，你要看站在誰的角度考慮問題
What is the value of the swap to the party paying dollars?。問的是支出美元的一方。
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