CoboCards App FAQ & Wünsche Feedback
Sprache: Deutsch Sprache
Kostenlos registrieren  Login

Zu dieser Karteikarte gibt es einen kompletten Satz an Karteikarten. Kostenlos!

Alle Oberthemen / Finance & Investment / Derivatives / Derivatives
98
In a fixed-for-fixed currency swap, 3% on a US dollar principal of $150 million is received and 4% on a British pound principal of 100 million pounds is paid. The current exchange rate is 1.55 dollar per pound. Interest rates in both countries for all maturities are currently 5% (continuously compounded). Payments are exchanged every year. The swap has 2.5 years left in its life. What is the value of the swap?
A. −$7.15
B.−$8.15
C.−$9.15
D.−$10.15
Answer: C

The value of the British pound bond underlying the swap is in millions of pounds
4e-0.05×0.5+4e-0.05×1.5+104e-0.05×2.5 = 99.39
The value of the U.S. dollar bond is in millions of dollars
4.5e-0.05×0.5+4.5e-0.05×1.5+154.5e-0.05×2.5  = 144.91
The value of the swap is 144.91 – 99.39×1.55 = –9.15


Neuer Kommentar
benchase (15.02.2024)
One has to consider a lot of things before exchanging currency, the good thing is that this post will help you out http://www.rahaporn.com
benchase (15.02.2024)
Amazing site full of good content. It also has well detailed posts and we love it already http://www.nairobidivas.net
lilycollins9x@gmail.com (29.11.2023)
Thank you for providing this exercise and http://fnafgo.com solution. I found it to be a great way to learn about concepts related to fixed-for-fixed currency swaps.
iamrishu (06.11.2023)
The Delhi Escort are well known to provide satisfaction to their customers. They have rosy cheeks, http://www.hotdelhiescorts.com/ dark hairs, and glossy lips that are enough to entangle you without any second thought. They are beautiful divas who have different tastes, and their accessories are simple enough to entice any individual.
victorpatrick (31.10.2023)
I was wondering if you had considered producing an ebook on the subject as I read your piece. Your writing style would accelerate the sale. You have a great deal of writing talent. http://retrobowlcollege.io
boaathletic (12.10.2023)
While reading your essay, I was curious if you had thought about writing an ebook on the topic. Your prose would help sell it quickly. You are a really talented writer. http://cookie-clicker.net
adelebrown68 (30.08.2023)
This is an awesome rundown of thoughts!  <a href="https://papas-games.io">papa's games</a>
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015

Abbrechen
E-Mail

Passwort

Login    

Passwort vergessen?
Deutsch  English