开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

mosquito三颗猫 · 2022年07月26日

如图

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)

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。


请问本题现金流方向可对?

2 个答案

Hertz_品职助教 · 2022年09月13日

嗨,从没放弃的小努力你好:


@陈骋

同学你好

1.     黄线框出来的是在现货市场借英镑,应该支付的英镑利息,直接表示为r_GBP,不需要加上或者减去basis。Basis是互换中才有的,在这个loan的头寸中不存在。

2.     答案中关于期间现金流的表述没有问题,因为这是对互换头寸期间现金流的表述,这一点是没有问题的。

----------------------------------------------
就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

Hertz_品职助教 · 2022年07月27日

嗨,努力学习的PZer你好:


同学你好

同学做的图需要稍微修改下,下图这里红线框出来的部分是“期间”,然后黄线框出来的部分是R_GBP,没有basis。

Basis只存在互换的利息支付中。

其他(包括箭头方向)都正确。

----------------------------------------------
努力的时光都是限量版,加油!

陈骋 · 2022年09月12日

1)为什么黄框里面不对,期间现金流难道不是非美元货币加上basis? 2)另外,答案关于期间现金流是不是有问题,轧差后期间现金流不是r-usd,再调整basisi?

  • 2

    回答
  • 0

    关注
  • 400

    浏览
相关问题

NO.PZ2018113001000081 问题如下 A British chocolate company wants to set upa branin the UniteStates. Sinthe company is in a better position toborrow home, it is planning to borrow Ghome anusecurrenswaps to convert them into llars neescrihow this cross-currenbasis swapshoulstructurefrom the beginning, perioanenof the swap.(Suppose the basis is quoteon the non-USeg of the swap) Answer:inception, the chocolate company willpthe notionprincipof Ganwill receive amount of USaccorngto the USGexchange rate, agreeto inception.eapayment te, the chocolate companywill receive interest in Ganwill pinterest in US Both payments arebaseon floating referenrates for their respective currencies. The Gratewill also inclu a basis rate this quoteseparately. On easettlementte, the chocolate company will receive amount of Gbaseon the Gfloatingrate plus the basis rate applieto the swnotionvalue, anit will payamount of USbaseon the USfloating rate anthe USGexchange ratethwset inception maturity, the cash flows maturity arethe inverses of the cash flows inception.The chocolate company will receivethe notionprincipof Ganwill pamount of USbaseon theUSGexchange rate thwset the beginning, applieto the Gnotionalprincipal. 中文解析本题考察的是cross-currenbasis 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-currenbasis swap将其转换为US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。 请问payment te 和 settlement te有什么区别?

2024-05-30 00:12 1 · 回答

NO.PZ2018113001000081 问题如下 A British chocolate company wants to set upa branin the UniteStates. Sinthe company is in a better position toborrow home, it is planning to borrow Ghome anusecurrenswaps to convert them into llars neescrihow this cross-currenbasis swapshoulstructurefrom the beginning, perioanenof the swap.(Suppose the basis is quoteon the non-USeg of the swap) Answer:inception, the chocolate company willpthe notionprincipof Ganwill receive amount of USaccorngto the USGexchange rate, agreeto inception.eapayment te, the chocolate companywill receive interest in Ganwill pinterest in US Both payments arebaseon floating referenrates for their respective currencies. The Gratewill also inclu a basis rate this quoteseparately. On easettlementte, the chocolate company will receive amount of Gbaseon the Gfloatingrate minus the basis rate applieto the swnotionvalue, anit will payamount of USbaseon the USfloating rate anthe USGexchange ratethwset inception maturity, the cash flows maturity arethe inverses of the cash flows inception.The chocolate company will receivethe notionprincipof Ganwill pamount of USbaseon theUSGexchange rate thwset the beginning, applieto the Gnotionalprincipal. 中文解析本题考察的是cross-currenbasis 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-currenbasis swap将其转换为US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。 beginningthe British chocolate company borrows Ghome anconverts Gprincipto USprincipbaseon spot exchange rate.periothe British chocolate company receives Ginterest anpays USinterest.enthe British chocolate company receives Gprincipanpays USprincipalif the manof USis high , the basis quoteon the non-USleg will negative.

2023-05-20 21:43 1 · 回答

NO.PZ2018113001000081 问题如下 A British chocolate company wants to set upa branin the UniteStates. Sinthe company is in a better position toborrow home, it is planning to borrow Ghome anusecurrenswaps to convert them into llars neescrihow this cross-currenbasis swapshoulstructurefrom the beginning, perioanenof the swap.(Suppose the basis is quoteon the non-USeg of the swap) Answer:inception, the chocolate company willpthe notionprincipof Ganwill receive amount of USaccorngto the USGexchange rate, agreeto inception.eapayment te, the chocolate companywill receive interest in Ganwill pinterest in US Both payments arebaseon floating referenrates for their respective currencies. The Gratewill also inclu a basis rate this quoteseparately. On easettlementte, the chocolate company will receive amount of Gbaseon the Gfloatingrate minus the basis rate applieto the swnotionvalue, anit will payamount of USbaseon the USfloating rate anthe USGexchange ratethwset inception maturity, the cash flows maturity arethe inverses of the cash flows inception.The chocolate company will receivethe notionprincipof Ganwill pamount of USbaseon theUSGexchange rate thwset the beginning, applieto the Gnotionalprincipal. 中文解析本题考察的是cross-currenbasis 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-currenbasis swap将其转换为US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。 期初借入GBP的部份怎么在整个回答中都没有提到? 不应该是要讨论每期净的收支吗? 期间每期会收GBP的浮动+basis同时还要付出GBP浮动作为利息费用不是吗?

2023-03-14 22:30 2 · 回答

NO.PZ2018113001000081 问题如下 A British chocolate company wants to set upa branin the UniteStates. Sinthe company is in a better position toborrow home, it is planning to borrow Ghome anusecurrenswaps to convert them into llars neescrihow this cross-currenbasis swapshoulstructurefrom the beginning, perioanenof the swap.(Suppose the basis is quoteon the non-USeg of the swap) Answer:inception, the chocolate company willpthe notionprincipof Ganwill receive amount of USaccorngto the USGexchange rate, agreeto inception.eapayment te, the chocolate companywill receive interest in Ganwill pinterest in US Both payments arebaseon floating referenrates for their respective currencies. The Gratewill also inclu a basis rate this quoteseparately. On easettlementte, the chocolate company will receive amount of Gbaseon the Gfloatingrate minus the basis rate applieto the swnotionvalue, anit will payamount of USbaseon the USfloating rate anthe USGexchange ratethwset inception maturity, the cash flows maturity arethe inverses of the cash flows inception.The chocolate company will receivethe notionprincipof Ganwill pamount of USbaseon theUSGexchange rate thwset the beginning, applieto the Gnotionalprincipal. 中文解析本题考察的是cross-currenbasis 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-currenbasis swap将其转换为US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。 On easettlement te, the chocolate company will receive amount of Gbaseon the Gfloating rate minus the basis rate applieto the swnotionvalue题目里假设basis是在nonUSleg 那不是应该rGBP=Gfloating rate + basis吗按照答案如果是minus 那不就相当于是加在了USleg上与题目假设相违背了

2022-08-31 17:49 1 · 回答

NO.PZ2018113001000081 问题如下 A British chocolate company wants to set upa branin the UniteStates. Sinthe company is in a better position toborrow home, it is planning to borrow Ghome anusecurrenswaps to convert them into llars neescrihow this cross-currenbasis swapshoulstructurefrom the beginning, perioanenof the swap.(Suppose the basis is quoteon the non-USeg of the swap) Answer:inception, the chocolate company willpthe notionprincipof Ganwill receive amount of USaccorngto the USGexchange rate, agreeto inception.eapayment te, the chocolate companywill receive interest in Ganwill pinterest in US Both payments arebaseon floating referenrates for their respective currencies. The Gratewill also inclu a basis rate this quoteseparately. On easettlementte, the chocolate company will receive amount of Gbaseon the Gfloatingrate minus the basis rate applieto the swnotionvalue, anit will payamount of USbaseon the USfloating rate anthe USGexchange ratethwset inception maturity, the cash flows maturity arethe inverses of the cash flows inception.The chocolate company will receivethe notionprincipof Ganwill pamount of USbaseon theUSGexchange rate thwset the beginning, applieto the Gnotionalprincipal. 中文解析本题考察的是cross-currenbasis 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-currenbasis swap将其转换为US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。 我想问一下,这个Floating to floating的cross currenbasis swap是汇率一开始就决定好,然后无论起初、期间和期末的需要用到汇率的时候都不变是吧?

2022-08-04 15:04 4 · 回答