金融衍生工具测试题(7)
更新时间:2023-11-01 21:11:01 阅读量: 综合文库 文档下载
Test Bank: Chapter 7
Swaps
1. Suppose that the yield curve is flat at 5% per annum with continuous compounding. A swap with a notional principal of $100 million in which 6% is received and six-month LIBOR is paid will last another 15 months. Payments are exchanged every six months. The six-month LIBOR rate at the last reset date (three months ago) was 7%. Answer in millions of dollars to two decimal places.
(i) What is the value of the fixed-rate bond underlying the swap? _ _ _ _ _ _
(ii) What is the value of the floating-rate bond underlying the swap? _ _ _ _ _ _
(iii) What is the value of the payment that will be exchanged in 3 months? _ _ _ _ _ _
(iv) What is the value of the payment that will be exchanged in 9 months? _ _ _ _ _ _
(v) What is the value of the payment that will be exchanged in 15 months? _ _ _ _ _ _
(vi) What is the value of the swap? _ _ _ _ _ _
2. A company can invest funds for five years at LIBOR minus 30 basis points. The
five-year swap rate is 3%. What fixed rate of interest can the company earn? Ignore day count issues _ _ _ _ _ _
3. Which of the following is true (circle one)
(a) Principals are not usually exchanged in a currency swap
(b) The principal amounts usually flow in the opposite direction to interest payments at the beginning of a currency swap and in the same direction as interest payments at the end of the swap.
(c) The principal amounts usually flow in the same direction as interest payments at the beginning of a currency swap and in the opposite direction to interest payments at the end of the swap.
(d) Principals are not usually specified in a currency swap
4. Suppose you enter into an interest rate swap where you are receiving floating and paying fixed. Which two of the following is true? (circle two)
(a) Your credit risk is greater when the term structure is upward sloping than when it is downward sloping.
(b) Your credit risk is greater when the term structure is downward sloping than when it is upward sloping.
(c) Your credit risk exposure increases when interest rates decline unexpectedly. (d) Your credit risk exposure increases when interest rates increase unexpectedly.
正在阅读:
金融衍生工具测试题(7)11-01
报答父母的作文02-04
民法综合测试题04-12
2015年网络舆情工作总结03-25
2017年山东二建继续教育03-15
工业气体项目投资建议书04-29
三年级数学上册《应用题天天练》第八单元分数的初步认识1.分数的初步认识(Word版有答05-01
2016继续教育10-30
河北工业大学 文献检索 题库(全)09-23
- 必修一物理寒假作业
- 2019-201X年5月大学生入党积极分子思想汇报-word范文模板(3页)
- 药物分析习题五
- 重拾应用意识 体会数学价值(沈建军)
- 2017全国高校辅导员结构化面试题集及参考答案
- 广东徐闻县实验中学2014届高三第二次月测地理试题
- 今天你共鸣了么?
- 2018-2019正能量读后感1000字-推荐word版(6页)
- 2018年中国截切型盖板针布行业专题研究分析报告目录
- 中国移动业务处理流程大全
- 公文写作常用词汇和句子集锦2016
- ARM课程设计说明书
- 教师资格证教育学论文
- 中考试卷分析
- 环境监测试卷(五)
- 党风廉政建设广播稿1
- 快速制作香香宫煮麻辣烫教程
- 《国际金融学》习题
- 文明施工保障措施方案
- 春兰维修资料故障代码
- 测试题
- 衍生
- 工具
- 金融