NO.PZ2016082405000080
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.
它这里说的好不清楚,直接说obtain美元,没有说是期初obtain还是期末obtain,两个方向是反的,搞得没法判断,这种怎么办呢