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1、 国际金融利率互换和货币互换例题页G o o d i s g o o d,b u t b e t t e r c a r r i e s i t.精 益 求 精，善 益 求 善。-2-CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS 1.Alpha and Beta Companies can borrow for a five-year term at the following rates:Alpha Beta Moodys credit rating Aa Baa Fixed-rate borrowing cost 10.5%12.0%Floatin
2、g-rate borrowing cost LIBOR LIBOR+1%a.Calculate the quality spread differential(QSD).b.Develop an interest rate swap in which both Alpha and Beta have an equal cost savings in their borrowing costs.Assume Alpha desires floating-rate debt and Beta desires fixed-rate debt.No swap bank is involved in t
3、his transaction.2.Do problem 1 over again,this time assuming more realistically that a swap bank is involved as an intermediary.Assume the swap bank is quoting five-year dollar interest rate swaps at 10.7%-10.8%against LIBOR flat.8.A company based in the United Kingdom has an Italian subsidiary.The
4、subsidiary generates 25,000,000 a year,received in equivalent semiannual installments of 12,500,000.The British company wishes to convert the euro cash flows to pounds twice a year.It plans to engage in a currency swap in order to lock in the exchange rate at which it can convert the euros to pounds
5、.The current exchange rate is 1.5/.The fixed rate on a plain vanilla currency swap in pounds is 7.5 percent per year,and the fixed rate on a plain vanilla currency swap in euros is 6.5 percent per year.a.Determine the notional principals in euros and pounds for a swap with semiannual payments that will help achieve the objective.b.Determine the semiannual cash flows from this swap.-3-
国际金融--利率互换和货币互换例题(1页)13243
