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90 days ago the exchange rate for the Canadian dollar (C$) was $0.83 and the term structure was:
A swap was initiated with payments of 5.3% fixed in C$ and floating rate payments in USD on a notional principal of USD 1 million with semiannual payments. 90 days have passed, the exchange rate for C$ is $0.84 and the yield curve is: What is the value of the swap to the floating-rate payer? A. $10,126. B. −$2,708. C. $3,472. |