NO.PZ2023020101000016
问题如下：
Mehta, who is based in Hong Kong SAR and
requires a €25,000,000 one-year bridge loan to fund operations in Germany. He
wants to fund this loan at a competitive rate. Riley advises Mehta to borrow in
HK dollars and enter into a one-year foreign currency swap to swap into euros.
The current exchange rate is HK$9.15 per euro. Exhibit 1 below provides Hong
Kong and euro spot interest rates and present value factors.
Exhibit
1: Hong Kong and Euro Spot Interest Rates
Based on the information in Exhibit 1, the
annual fixed swap rate Mehta would pay is closest
to：
选项：
A.
0.48%.
B.
0.92%.
C.
1.88%.
解释：
PV
factors for HK dollar are provided along with an explanation of how they are
calculated:
For
example, PV(90) is calculated as follows:
Other
present value factors are calculated in a similar manner.
The
fixed rate is calculated as follows:
The
annualized rate = 0.0023 × 4 = 0.0092.
题目里90，180，270，360说的是days to maturity，也就是距离到期日还有90天，180天，270天，360天，上课画的时间轴90，180，270，360都是时间点，如果按题里的说法90days to maturity应该是270的时间点，那360days to maturity就应该是0时间点，所以按时间点画时间轴的话应该是0，90，180，270这四个时间点有利率，而最后到期日360时间点没有利率？
