NO.PZ2020033001000031
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:
C 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*(0.2-0.43)=-$23,000,000
correlation sawp是当最后correlation大于固定的话,选择收到固定correlation的反而亏钱是为什么呢?