题目
In an interest rate swap with semiannual payments, StreetBase Bank has agreed to pay a fixed rate of 4.0% per annum with semiannual compounding and receive six-month LIBOR on a notional of USD 100 million. The swap has remaining maturity of 15 months. The LIBOR curve is flat at 2.0% per annum with continuous compounding for all maturities (out to 15 months), including the six-month LIBOR at the last payment date was also 2.0% (but with semiannual compounding). Which is nearest to the value of the swap to StreetBase Bank?
选项
A.-$4.88 million
B.-$2.95 million
C.Zero
D.$3.40 million
答案
B
解析
The solution follows： 固定利率债券=2×e^(-2%×0.25) 2×e^(-2%×0.75) 102×e^(-2%×1.75)=103.4419百万美元 浮动利率债券=(100＋1)×e^(-2%×0.25)=100.4963百万美元 对于StreetBase银行来说，互换价值=100.4963-103.4419=-2.95百万美元