NO.PZ2017121101000008
问题如下：
A US institutional investor in search of yield decides to buy Italian government bonds for her portfolio but wants to hedge against the risk of exchange rate fluctuations. She enters a cross-currency basis swap, with the same payment dates as the bonds, where at inception she delivers US dollars in exchange for euros for use in purchasing the Italian bonds.
Assume demand for US dollars is strong relative to demand for euros, so there is a positive basis for “lending” US dollars. By hedging the position in Italian government bonds with the currency basis swap, the US investor will most likely increase the periodic net interest payments received from the swap counterparty in:
选项：
A.euros only.
US dollars only.
both euros and US dollars.
解释：
B is correct.
By hedging the position in Italian government bonds with the cross-currency basis swap, the US investor will most likely increase the periodic net interest she receives in US dollars. The reason is that the periodic net interest payments made by the swap counterparty to the investor will include the positive basis resulting from the relatively strong demand for US dollars versus euros.
如果题目改成the US investor will most likely decrease the periodic net interest payments paid to the swap counterparty ----- 那就是Euro？
所以这道题看的是这个问题提问，也就是具体操作的方向? 如果是US investor receive 那就是算在USD，因为是借出去一笔USD本金将来收到R美元 +basis，但如果是US investor pay那就是支付利息方向，因为期初swap了外币借了欧元，所以可以在支付欧元的利息的基础上少支付一个basis
这样理解对吗？
