问题如下：
Which of the following statements is correct?
I. Depreciation of the yen after the default of Lehman Brothers gave a substantial gain to Japanese bank foreign currency swaps positions to obtain dollar finding in interest rate swaps.
II. Fixed-rate receivers experience a value gain to the extent that the swap rate increases.
选项： I only.
II only.
C.Both I and II.
D.Neither I nor II.
解释：
D Appreciation, and not depreciation, of the yen generated a substantial gain for Japanese banks with foreign currency swaps positions. A fixed-rate receiver experiences a value gain to the extent that the swap rate declines.
第二句，swap rate应该是收到的固定利率，对于fixed rate receiver来说，swap rate上升，每期收到的coupon上升，value应该是上升。助教的回答里，说value=P(r)-面值，没理解错的话就是分拆成的固定利率债券现值-浮动利率债券现值（面值），但后半句利率上升，P(r)下降是把swap rate用在分母里折现用了吧?
