微信扫一扫
实时资讯全掌握
|
A financial institution has entered into a plain vanilla currency swap with one of its customers. The period left on the swap is 3 years, with the institution paying 5 percent on USD20 million and receiving 2.5 percent on JPY1,500 million annually. The current exchange rate is JPY120/USD, and the flat term structure in both countries generates a 3 percent rate in the U.S. and a 0.75 percent rate in Japan. The current value of this swap to the institution is closest to: A. –USD7.95 million. B. USD7.95 million. C. USD6.875 million. D. –USD6.875 million. |