金融衍生工具测试题-(7)

TestBank:Chapter7Swaps1.Supposethattheyieldcurveisflatat5%perannumwithcontinuouscompounding.Aswapwithanotionalprincipalof$100millioninwhich6%isreceivedandsix-monthLIBORispaidwilllastanother15months.Paymentsareexchangedeverysixmonths.Thesix-monthLIBORrateatthelastresetdate(threemonthsago)was7%.Answerinmillionsofdollarstotwodecimalplaces.(i)Whatisthevalueofthefixed-ratebondunderlyingtheswap?______(ii)Whatisthevalueofthefloating-ratebondunderlyingtheswap?______(iii)Whatisthevalueofthepaymentthatwillbeexchangedin3months?______(iv)Whatisthevalueofthepaymentthatwillbeexchangedin9months?______(v)Whatisthevalueofthepaymentthatwillbeexchangedin15months?______(vi)Whatisthevalueoftheswap?______2.AcompanycaninvestfundsforfiveyearsatLIBORminus30basispoints.Thefive-yearswaprateis3%.Whatfixedrateofinterestcanthecompanyearn?Ignoredaycountissues______3.Whichofthefollowingistrue(circleone)(a)Principalsarenotusuallyexchangedinacurrencyswap(b)Theprincipalamountsusuallyflowintheoppositedirectiontointerestpaymentsatthebeginningofacurrencyswapandinthesamedirectionasinterestpaymentsattheendoftheswap.(c)Theprincipalamountsusuallyflowinthesamedirectionasinterestpaymentsatthebeginningofacurrencyswapandintheoppositedirectiontointerestpaymentsattheendoftheswap.(d)Principalsarenotusuallyspecifiedinacurrencyswap4.Supposeyouenterintoaninterestrateswapwhereyouarereceivingfloatingandpayingfixed.Whichtwoofthefollowingistrue?(circletwo)(a)Yourcreditriskisgreaterwhenthetermstructureisupwardslopingthanwhenitisdownwardsloping.(b)Yourcreditriskisgreaterwhenthetermstructureisdownwardslopingthanwhenitisupwardsloping.(c)Yourcreditriskexposureincreaseswheninterestratesdeclineunexpectedly.(d)Yourcreditriskexposureincreaseswheninterestratesincreaseunexpectedly.