NO.PZ2020033001000031
问题如下：
Alextrasza Bank entered the one-year correlation swap contract as a fixed correlation receiver. The nominal principal of the contract is 100 million. If the two assets of the target three assets have a daily correlation of 0.5, 0.5, 0.3. How much will Alextrasza Bank receive at maturity if the fixed correlation rate is 0.2?
选项：
A.
$43,000,000.
B.
$23,000,000.
C.
-$23,000,000.
D.
-$43,000,000.
解释：
C is correct.
考点：平均相关性计算
解析： 计算公式如下ρrealized =2/(32 -3)*(0.5+0.5+0.3)=0.43
$100,000,000*(0.2-0.43)=-$23,000,000
请问题目中是在说什么？计算公式的意思是什么？公式在哪里？谢谢
