CFA题目分享：二级Derivatives PP题分享-2

An analyst gathers the following information about a fixed-fixed currency swap for a US company borrowing GBP. The swap is for one year with a quarterly reset:

Note: GBP/USD is the amount of GBP per 1 USD.

The fixed swap quarterly payment for the USD side will be closest to:

A $73,125.

B $90,278.

C $361,111.

解析：

A.Incorrect because the USD notional amount is calculated as 50 million × 0.9 = 45 million.

The fixed quarterly payments are then calculated using the formula FS_GBP = NA_GBP × r_GBP, where

FS_GBP = the annualized GBP fixed swap payment, and

r_GBP = the annual GBP fixed swap interest rate.

Therefore, the annual payments are FS_GBP = 50 million × 0.0225 = GBP 1,125,000, and correspondingly, FS_us = 45 million × 0.0065 = USD292,500.

Dividing by four for the quarterly payments: 1,125,000/4 = GBP281,250 and 292,500/4 = USD73,125.

B.Correct because the first step in determining the payment amounts is to calculate the notional amount in USD using the formula NA_us = S_o × NAGBP, where

NA_us = the notional amount in USD,

S_o = the spot exchange rate, and

NAGBP = the notional amount in GBP.

From the table we have NAGBP = 50 million and S_o = 0.9 GBP/USD, therefore NA_us = 50 / 0.9 = USD 55.5556 million.

The fixed quarterly payments are then calculated using the formula FSGBP = NA_GBP × r_GBP, where

FS_GBP = the annualized GBP fixed swap payment, and

r_GBP = the annual GBP fixed swap interest rate.

Therefore, the annual payments are FS_GBP = 50 million × 0.0225 = GBP 1,125,000, and correspondingly, FS_us = 55.5556m × 0.0065 = USD361,111.

Dividing by four for the quarterly payments: 1,125,000/4 = GBP281,250 and 361,111/4 = 90,277.75 ≈ $90,278.

C.Incorrect because it is the annual payment, not the quarterly payment.

The fixed quarterly payments are calculated using the formula FS_GBP = NA_GBP × r_GBP, where

FS_GBP = the annualized fixed swap payment, and

r_GBP = the annual GBP fixed swap interest rate.

Therefore, the annual payments are FS_GBP = 50 million × 0.0225 = GBP 1,125,000, and correspondingly, FS_us = 55.5556 million × 0.0065 = $361,111.