题目
Assume an investor receives euro in exchange for paying yen in a currency swap. What are the conditions for the swap to be in-the-money? I.The value of yen falls II.The value of yen rises III.The euro interest rate rises IV.The euro interest rate falls
选项
A.I and III
B.I and IV
C.II and III
D.II and IV
答案
B
解析
The swap is similar to a long position in euro denominated bond and a short position in Yen denominated bond.Thus, decrease in euro interest rate is beneficial to a holder of a long position. Likewise, the decrease in the value of yen makes the yen denominated bond less valuable (what is beneficial for a short position).这种互换类似于欧元计价债券的多头头寸和日元计价债券的空头头寸。因此，欧元利率的下降对持有多头头寸的人是有利的。同样，日元贬值会降低日元计价债券的价值(这对做空有利)。