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今天也要来一杯 · 2020年02月24日

问一道题:NO.PZ2017121101000007

问题如下:

A US institutional investor in search of yield decides to buy Italian government bonds for her portfolio but wants to hedge against the risk of exchange rate fluctuations. She enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers US dollars in exchange for euros for use in purchasing the Italian bonds. The notional principals on the swap are most likely exchanged:

选项:

A.

at inception only.

B.

at maturity only

C.

both at inception and at maturity.

解释:

C is correct.

In a cross- currency basis swap, the goals of the transaction are to achieve favorable funding and exchange rates and to swap the foreign currency amounts back to the currency of choice—in this case, the US dollar—at maturity. There is one exchange rate specified in the swap that is used to determine the notional principals in the two currencies, exchanged at inception and at maturity.

请问swap在期初签订的时候是怎么约定(表述)principal和期间现金流的呢?可以举个实际例子么

1 个答案

xiaowan_品职助教 · 2020年02月25日

嗨,努力学习的PZer你好:


同学你好,我们基础班讲义中关于cross-currency basis swap的一道例题就是原版书中一个实际的例子,表述也非常全面,同学可以作为参考。

从原理上来说,就是如果某公司可以借到A货币,但实际需要B货币,那这家公司进入的swap就是在期初收到B货币,这一笔就是principal,而期间的现金流是收A货币利息,支B货币利息。


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努力的时光都是限量版,加油!


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