国际金融--利率互换和货币互换例题.doc

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1、CHAPTER14INTERESTRATEANDCURRENCYSWAPS1.AlphaandBetaCompaniescanborrowforafive-yeartermatthefollowingrates:AlphaBetaMoody’screditratingAaBaaFixed-rateborrowingcost10.5%12.0%Floating-rateborrowingcostLIBORLIBOR+1%a.Calculatethequalityspreaddifferential(QSD).b.Developaninterestrateswapinwhich

2、bothAlphaandBetahaveanequalcostsavingsintheirborrowingcosts.AssumeAlphadesiresfloating-ratedebtandBetadesiresfixed-ratedebt.Noswapbankisinvolvedinthistransaction.2.Doproblem1overagain,thistimeassumingmorerealisticallythataswapbankisinvolvedasanintermediary.Assumetheswapbankisquotingfive-ye

3、ardollarinterestrateswapsat10.7%-10.8%againstLIBORflat.8.AcompanybasedintheUnitedKingdomhasanItaliansubsidiary.Thesubsidiarygenerates€25,000,000ayear,receivedinequivalentsemiannualinstallmentsof€12,500,000.TheBritishcompanywishestoconverttheeurocashflowstopoundstwiceayear.Itplanstoengagein

4、acurrencyswapinordertolockintheexchangerateatwhichitcanconverttheeurostopounds.Thecurrentexchangerateis€1.5/£.Thefixedrateonaplainvanillacurrencyswapinpoundsis7.5percentperyear,andthefixedrateonaplainvanillacurrencyswapineurosis6.5percentperyear.a.Determinethenotionalprincipalsineurosandpo

5、undsforaswapwithsemiannualpaymentsthatwillhelpachievetheobjective.b.Determinethesemiannualcashflowsfromthisswap.©2012byMcGraw-HillEducation.Thisisproprietarymaterialsolelyforauthorizedinstructoruse.Notauthorizedforsaleordistributioninanymanner.Thisdocumentmaynotbecopied,scanned,duplicated,

6、forwarded,distributed,orpostedonawebsite,inwholeorpart.