题目
You have entered into a currency swap in which you receive 4% per annum in yen and pay 6% per annum in dollars once a year. The principals in the two currencies are 1000 million yen and 10million dollar. The swap will last for another two years, and the current exchange rate is 115 yen for 1 dollar. Suppose that the annualized spot rates (with continuous compounding) are given as in the table below, what is the value of the swap to you in million dollars?「huixue_img/importSubject/1564169526180974592.png」
选项
A.-1.270
B.-0.447
C.0.447
D.1.270
答案
A
解析
Calculation「huixue_img/importSubject/1564169526252277760.png」