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Drink H · 2020年02月28日

问一道题:NO.PZ2020021204000053 [ FRM I ]

问题如下:

A bank trades a swap where a fixed rate of 5% in currency A is paid and Libor in currency B is received. Show that the swap can be considered as a fixed-for-fixed currency swap plus an interest rate swap.

解释:

The swaps are as follows.

The fixed rate in currency A is paid, and a fixed rate in currency B is received.

The same fixed rate in currency B is paid, and Libor in currency B is received.

老师你好,这块确实难理解,请解释
1 个答案

品职答疑小助手雍 · 2020年02月29日

同学你好,如图,上面那个swap相当于下面那俩swap合起来。