NO.PZ2023020101000017
问题如下:
Whitney meets with Grand Manufacturing.This client is based in Hong Kong but requires a €25,000,000 one-year bridgeloan to fund operations in Germany. Grand Manufacturing is currently able toborrow euros at an interest rate of 3.75% but wonders if there is a lessexpensive alternative. Whitney advises Grand to borrow in HK$ and enter into aone-year foreign currency swap with quarterly payments to receive euros at afixed rate and pay HK$ at a fixed rate. The current exchange rate is HK$11.42per €1, and the notional amounts will be exchanged at initiation and atmaturity.
Exhibit1 Current Term Structure of Rates (%)
Note: Libor is theLondon Interbank Offered Rate. Euribor is the Euro Interbank Offered Rate.Hibor is the Hong Kong Interbank Offered Rate. All rates shown are annualized.
Based on theinformation in Exhibit 1 and using a 30/360 day count, the annualized fixedrates on the currency swap suggested by Whitney for Grand for euros and HongKong dollars, respectively, will be closest to:
选项:
A.
2.34%and 1.87%.
B.
2.13%and 1.58%.
C.
2.32%and 1.85%.
解释:
C is correct. The appropriate PV factorsfor Euribor and Hibor are calculated from Exhibit 1.
The annualized rate is simply (360/90)times the 90-day rates or 2.3181% for Euros and 1.8550% for HK$.
如果都是分别根据各自的折现因子来计算swap rate 的话,期初利率是否只是在计算value的时候有用呢?