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水瓶公主 · 2023年03月07日

A被支付fixed,B被接收floated

NO.PZ2020021204000053

问题如下:

A bank trades a swap where a fixed rate of 5% in currency A is paid and Libor in currency B is received. Show that the swap can be considered as a fixed-for-fixed currency swap plus an interest rate swap.

解释:

The swaps are as follows.

The fixed rate in currency A is paid, and a fixed rate in currency B is received.

The same fixed rate in currency B is paid, and Libor in currency B is received.

这个语义对吗然后再互换?

1 个答案

品职答疑小助手雍 · 2023年03月08日

同学你好,语义没有问题,题目说的互换相当于两个互换的叠加。