NO.PZ2018113001000081
问题如下：
A British chocolate company wants to set up
a branch in the United States. Since the company is in a better position to
borrow at home, it is planning to borrow GBP at home and use
currency swaps to convert them into dollars as needed.
Describe how this cross-currency basis swap should be structured from the beginning, period and end of the swap.(Suppose the basis is quoted on the non-USD leg of the swap)
选项：
解释：
Answer:
At inception, the chocolate company will pay the notional principal of GBP and will receive an amount of USD according to the USD/GBP exchange rate, agreed to at inception.
At each payment date, the chocolate company will receive interest in GBP and will pay interest in USD. Both payments are based on floating reference rates for their respective currencies. The GBP rate will also include a basis rate that is quoted separately. On each settlement date, the chocolate company will receive an amount of GBP based on the GBP floating rate minus the basis rate applied to the swap notional value, and it will pay an amount of USD based on the USD floating rate and the USD/GBP exchange rate that was set at inception
At maturity, the cash flows at maturity are
the inverses of the cash flows at inception.The chocolate company will receive
the notional principal of GBP and will pay an amount of USD based on the
USD/GBP exchange rate that was set at the beginning, applied to the GBP notional
principal.
中文解析：
本题考察的是cross-currency basis swap。
一家英国的巧克力公司要在美国设立一个分公司，因此需要美元。英国的公司在英国借款更有优势，利率更低，因此他在本国借GBP，再通过cross-currency basis swap将其转换为USD。
期初：将约定一个在期初和期末交换名义本金时使用的汇率，然后该公司将支付GBP的名义本金，并根据约定好的这个汇率收到对应金额的美元本金。
期间：在每个互换日，该公司将收到GBP利息，并支付美元利息，支付和收到的利息都是基于各自币种的浮动利率和名义本金来计算的，另外收到的GBP利率中包括一个basis。因此在每个结算日期,该公司都将收到基于GBP的浮动利率-basis计算出来的利息金额,同时支付一笔基于美元的浮动利率和美元本金计算出来的美元利息。
期末：和期初的现金流方向相反，将会收到一开始换出去的GBP，同时支付一开始时收到的美元金额。结束整个互换。
Both payments are based on floating reference rates for their respective currencies. The GBP rate will also include a basis rate that is quoted separately.
为什么双方支付的都是浮动利率呢？
