FRM一级练习题：金融市场与产品

2016-7-25 13:31| 发布者: brooke| 查看: 751| 评论: 0

摘要: 　　A firm has entered into a$22.5 MM plain vanilla interest rate swap in which it pays fixed at 4.2 percent and receives LIBOR.At inception,what is the firm’s credit exposure on this swap if LIBOR i ...

　　A firm has entered into a$22.5 MM plain vanilla interest rate swap in which it pays fixed at 4.2 percent and receives LIBOR.At inception,what is the firm’s credit exposure on this swap if LIBOR is 3.2 percent?

　　A.$0.

　　B.$225,000.

　　C.$11.25 MM.

　　D.$22.5 MM.

　　Answer:A

　　The value of a plain vanilla swap at inception is zero as the swap fixed rate(SFR)is set to make the PV of both the fixed and expected floating rate payments equal.

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