题目
Two banks enter into a 1-year plain vanilla interest-rate swap with the following terms: Notional principal is $500,000,000. The fixed component of the swap is 7%. The floating component of the swap is LIBOR 200bps where LIBOR equals 5%. If the current risk-free rate is 4 percent, the value for this swap at inception is closest to:
选项
A.$0
B.$8,750,000
C.$35,000,000
D.$500,000,000
答案
A
解析
The initial value of a swap is always zero. As interest rates move and payments take place, the value of the swap will change for both parties.互换的初始值总是0。随着利率的变动和支付的发生，互换的价值对双方来说都将发生变化。