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轧称的棉花糖 · 2018年10月03日

问一道题:NO.PZ2016082406000051 [ FRM II ]

那AB的敞口不是whole nominal principal?为何

问题如下图:

选项:

A.

B.

C.

D.

解释:

2 个答案
已采纳答案

orange品职答疑助手 · 2018年10月03日

A选项,在利率互换协议中,无需交换本金,只需定期交换利息差额,所以敞口不大

B选项,在远期外汇市场,按规定好的汇率将美元换成澳元。同样,在到期进行交割时,是不用对名义本金进行交割的。只交割远期汇率与当时的即期汇率之间的差额。所以其风险敞口跟A选项类似。

pz-stepsutake · 2020年02月22日

关于选项C,讲义255-256页,currency swap,何老师讲课的时候说这个是需要交还本金的啊

orange品职答疑助手 · 2020年02月23日

同学你好,本题是远期外汇协议,何老师讲的是货币互换,远期外汇协议在实务中一般不怎么交割本金的

你可以看一下我贴的郑振龙写的《金融工程》,远期外汇协议在实务中一般不怎么交割本金的

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