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%, which is the current market rate. ● The floating component of the swap is LIBOR+200bps. If the current continuously compounded risk-free rate is 4%, the value for this swap at inception is closest to:
选项
A.$500,000,000
B.$8,750,000
C.$35,000,000
D.$0
答案
D
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.互换在签订时的价值总是0（对双方来说是公平的）。随着利率的变化和支付的发生，互换的价值对双方都将发生变化。