问题如下：
Alextrasza Bank entered the one-year correlation swap contract as a fixed correlation receiver. The nominal principal of the contract is 100 million. If the two assets of the target three assets have a daily correlation of 0.5, 0.5, 0.3. How much will Alextrasza Bank receive at maturity if the fixed correlation rate is 0.2?
选项：
A.$43,000,000.
B.$23,000,000.
C.-$23,000,000.
D.-$43,000,000.
解释：
B is correct.
考点：平均相关性计算
解析： 计算公式如下ρrealized =2/(32 -3)*(0.5+0.5+0.3)=0.43
$100,000,000*(0.43-0.2)=$23,000,000
老师好，这道题的正确答案应该是C吧。因为题干写了A公司是fixed receiver, 所以在计算payoff 的时候，应该是0.2-0.43。
讲义上给的公式realized- fixed针对的是fixed payer的头寸。
