NO.PZ2022123002000044
问题如下:
A US institutional investor in search of yield decides
to buy Italian government bonds for her portfolio but wants to hedge against
the risk of exchange rate fluctuations. She enters a cross-currency basis swap,
with the same payment dates as the bonds, where at inception she delivers US
dollars in exchange for euros for use in purchasing the Italian bonds. The
notional principals on the swap are most likely exchanged:
选项:
A.
at inception only
B.
at maturity only
C.
both at inception and
at maturity
解释:
Correct Answer: C
C is correct. In a cross-currency basis swap, the goals of the
transaction are to achieve favorable funding and exchange rates and to swap the
foreign currency amounts back to the currency of choice—in this case, the US
dollar—at maturity. There is one exchange rate specified in the swap that is
used to determine the notional principals in the two currencies, exchanged at
inception and at maturity.
还有其他的衍生是期初交换本金的吗 可以有个总结吗