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DDAXC · 2020年02月23日

问一道题:NO.PZ2016082406000052

问题如下:

Which of the following 10-year swaps has the highest potential future exposure?

选项:

A.

A cross-currency swap after eight years

B.

A cross-currency swap after two years

C.

An interest rate swap after two years

D.

An interest rate swap after eight years

解释:

ANSWER: A

The question asks about potential future exposure for various swaps during their lives. Interest rate swaps generally have lower exposure than currency swaps because there is no market risk on the principals. Currency swaps with lower remaining maturities have greater potential future exposure. That's why we choose answer A.

这个题答案应该是B吧


1 个答案

品职答疑小助手雍 · 2020年02月23日

同学你好,越靠近maturity,currency swap的exposure越大。

10年的swap,A过了8年了,只剩下2年,比B离到期近,所以A的pfe大。