题目
In a plain vanilla swap party A pays a fixed rate 8.49% per annum on a semiannual basis (180/360), and receives from Party B LIBOR 30 basis point. 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?
选项
A.$20,000
B.$40,000
C.$80,000
D.$105,000
答案
D
解析
Step1.calculate value of fixed bond Party A = 25,000,000×8.49%/2 = $1,061, 250Step2.calculate value of floating bond Party B = 25,000,000×7.65%/2 = $956, 250net payment = 1,061,250-956,250 = $105,000步骤1。固定债券计算价值A= 25,000,000×8.49%/2 = 1061,250美元步骤2。浮动债券计算价值B= 25,000,000×7.65%/2 = $ 956,250净付款= 1,061,250-956,250 = 105,000美元