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Consider a threes-year swap initiated on March 1,2003, in which company B agrees
Consider a threes-year swap initiated on March 1,2003, in which company B agrees
游客
2025-06-20
16
管理
问题
Consider a threes-year swap initiated on March 1,2003, in which company B agrees to pay company A an interest rate of 5% per annum on a notional principal of $100million and in return company A agrees to pay to company B the six-month LIBOR rate on the same notional principal. When the first exchange of payments took place on September 1,2003, company A would pay ______. (6-month LIBOR on March 1,2003 and on September 1,2003 are respectively 2% and 8% per annum.)
选项
A、$2.1 million
B、$2.5million
C、$2.1467million
D、$102.1million
答案
C
解析
答案为C项。根据句意,计算时需要注意:①题中名义本金(notional principal)的提法说明该利率互换中本金不交换;②利息计算一年按360天计,计息天数按实际天数;③每期付款所使用的是前一期付款曰时的LIBOR,本题中用2003年3月1日的6个月LIBOR。所以,A公司9月1日应支付:100×2%×184/360=$1467million。故本题选C项。
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