NO.PZ2020021204000051
问题如下:
Consider a currency swap where interest on British pounds at the rate of 3% is paid and interest on euros at 2% is received. The British pound principal is 1.0 million pounds and the euro principal is 1.1 million euros. The most recent exchange has just occurred and the interest is exchanged every six months. There are two years are remaining in the life of the swap. The current exchange rate is 1.15 euro/pound. The risk-free rates in pounds and euros are 2.5% and 1.5%. Value the swap by considering it as the difference between two bonds. All rates are compounded semi-annually.
选项:
解释:
The swap involves exchanging
0.5 x 0.03 x 1,000,000 = 15,000 pounds with
0.5 X 0.02 X 1,100,000 = 11,000 euros with a final exchange of principal.
The value of the British pound
bond in British pounds is
+++=1,009,695
The value of the euro bond in euros is
+++=1,110,797
The value of the swap in British pounds is therefore
1,110,797 /1.15 - 1,009,695 = -43,785.
最后答案把英镑换成欧元,按欧元计价可以吗