问题如下图:
选项:
A.
B.
C.
D.
解释:
为什么日元升值的时候有正的收益?
NO.PZ2016082405000080 Whiof the following statements is correct? I. preciation of the yen after the fault of LehmBrothers gave a substantigain to Japanese bank foreign currenswaps positions to obtain llfinng in interest rate swaps. II. Fixerate receivers experiena value gain to the extent ththe swrate increases. I only. II only. Both I anII. Neither I nor II. Appreciation, annot preciation, of the yen generatea substantigain for Japanese banks with foreign currenswaps positions. A fixerate receiver experiences a value gain to the extent ththe swrate clines. 它这里说的好不清楚,直接说obtain美元,没有说是期初obtain还是期末obtain,两个方向是反的,搞得没法判断,这种怎么办呢
Whiof the following statements is correct? I. preciation of the yen after the fault of LehmBrothers gave a substantigain to Japanese bank foreign currenswaps positions to obtain llfinng in interest rate swaps. II. Fixerate receivers experiena value gain to the extent ththe swrate increases. I only. II only. Both I anII. Neither I nor II. Appreciation, annot preciation, of the yen generatea substantigain for Japanese banks with foreign currenswaps positions. A fixerate receiver experiences a value gain to the extent ththe swrate clines. 第二句,swrate应该是收到的固定利率,对于fixerate receiver来说,swrate上升,每期收到的coupon上升,value应该是上升。助教的回答里,说value=P(r)-面值,没理解错的话就是分拆成的固定利率债券现值-浮动利率债券现值(面值),但后半句利率上升,P(r)下降是把swrate用在分母里折现用了吧?
麻烦一下第一句
为什么第二句是错的呢? Swrate 不就是固定利率吗,所以当swrate上升的时候,收固定的应该是有gain的不是吗?