Cooljas · 2024年05月12日
NO.PZ2023091802000168
问题如下：
Consider the following 3-year currency swap, which involves exchanging annual interest of 2.75% on 10 million US dollars for 3.75% on 15 million Canadian dollars. The CAD/USD spot rate is 1.52. The term structure is flat in both countries. Calculate the value of the swap in USD if interest rates in Canada are 5% and in the United States are 4%. Assume continuous compounding. Round to the nearest dollar.
选项：
A.$152,000
B.$145,693
C.$131,967
D.$127,818
解释：
NO.PZ2023091802000168 问题如下 Consir the following 3-yecurrenswap, whiinvolvesexchanging annuinterest of 2.75% on 10 million US llars for 3.75% on 15million Canallars. The current exchange rate is 1 US llfor 1.52 AU. The term structure isflin both countries. Calculate the value of the swin USif interestrates in Cana are 5% anin the UniteStates are 4%. Assume continuouscompounng. Rounto the nearest llar. A.$152,000 B.$145,693 C.$131,967 $127,818 whiinvolves exchanging annuinterest of 2.75% on 10 million US llars for 3.75% on 15 million Canallars.老师好，题目说exchange USfor CA 不应该是指付出去US，收到CA？为什么不用PV C- PV US呢？
NO.PZ2023091802000168问题如下 Consir the following 3-yecurrenswap, whiinvolvesexchanging annuinterest of 2.75% on 10 million US llars for 3.75% on 15million Canallars. The CAUSspot rate is 1.52. The term structure isflin both countries. Calculate the value of the swin USif interestrates in Cana are 5% anin the UniteStates are 4%. Assume continuouscompounng. Rounto the nearest llar. A.$152,000B.$145,693C.$131,967$127,818 老师，这道题讲汇率时，说的是“一个美元等于1.52个加币”是不是口误？应该是1个加币等于1.52个美元吧
