NO.PZ2019010402000010
问题如下:
A manager enters into a one-year currency swap involving receiving RMB fixed and paying USD fixed. She uses the following information to price the annualized fixed swap rate for USD:
The annualized fixed swap rate for USD is:
选项:
A.
0.995%
B.
0.249%
C.
1.375%
解释:
A is correct.
考点:对currency swap定价
解析:
currency swap因为货币不一样,可以固换浮,浮换浮,固换固,其中只有固定利率需要定价,其定价方法与interest rate swap一样。只需对相应的货币进行定价即可。
此题需要对USD的利率进行定价:
从哪里看出来一年付息四次的呢?