NO.PZ2019052801000122
问题如下：
Two companies, ABC and XYZ, have signed a 2-year plain vanilla interest rate swap with $500m notional principal. According to the swap, ABC will pay XYZ periodic floating rate, and XYZ will pay periodic fixed rate to ABC at 2.4%. The payment will be made semi-annually. The 6-month LIBOR rate are as follows：
What is the net payment for the end of the first period?
选项：
A.XYZ pays ABC $3,500,000 .
B.XYZ pays ABC $6,000,000 .
C.ABC pays XYZ $2,500,000 .
D.ABC pays XYZ $3,500,000 .
解释：
A is correct.
考点：Pricing And Valuation Of Interest Rate Swaps
解析：因为Swap的货币相同，因此只用支付固定与浮动之间的净值就可以。
根据Swap协议，在第一期半年之后，
ABC向XYZ支付浮动利率，Floating payment= $500 million x 0.01 x 0.5 = $2,500,000
XYZ向ABC支付固定利率，Fixed payment = $500 million x 0.024 x 0.5 = $6,000,000
所以，Net payment = $6,000,000 - $2,500,000 = $3,500,000，应该是XYZ向ABC支付。
请问这样的例题如何解？有什么思路没有？
