题目
A financial institution has entered into a plain vanilla currency swap with one of its customers. The period left on the swap is two years with the institution paying 4.5% on USD120 million and receiving 2% on JPY3,500 million annually. The current exchange rate is 120 JPY per USD, and the flat term structure in both countries generates a 3% rate in the US and a 0.5% rate in Japan (with continuous compounding). The current value of this swap to the institution is closest to:
选项
A.$93,300,000
B.-$118,090,000
C.-$93,300,000
D.$118,090,000
答案
C
解析
本题解析如下：
「huixue_img/importSubject/1564169525430194176.png」