【金融市場(chǎng)&估值與風(fēng)險(xiǎn)建模】FRM一級(jí)每日一題
1. Consider the plain vanilla swap that Party A pays a fixed rate 8.29% per annum on a semiannual basis (180/360), and receives from Party B . The current six-month LIBOR rate is 7.35% per annum. The notional principal is $25M. What is the net swap payment of Party A?
- $20,000
- $40,000
- $80,000
- $110,000
Answer: C
Step1.calculate value of fixed bond Party A=25,000,000×8.29%/2=$1,036,250
Step2.calculate value of floating bond Party B =25,000,000×7.65%/2=$956,250
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