题目
Suppose that the term structure of risk-free interest rates is flat in both Japan and the United States. The Japanese interest rate is 2.0% per annum and the U.S. interest rate is 3.0% per annum (both with continuous compounding). A financial institution has entered into a currency swap in which it receives 15.0% per annum in yen (￥) and pays 10.0% per annum in dollars ($) once a year. The principals in the two currencies are $10.0 million and ￥1,000.0 million yen. The swap will last only for another two years (i.e., there are only two remaining cash exchanges, although the final principal must be exchanged) and the current exchange rate is ￥110 yen per dollar.「huixue_img/importSubject/1564169525962870784.png」Which is nearest to the current value of the swap to the financial institution, in U.S. dollars?
选项
A.$51,400
B.$725,000
C.$11.33 million
D.$5.65 million
答案
A
解析
$51,400, or more exactly $51,396.02. 本题解析如下:「huixue_img/importSubject/1564169526109671424.png」