【经典】期货期权及其他衍生品第九版答案(英文)HullOFOD9eSolutionsCh07.pdfVIP

CHAPTER 7 Swaps Practice Questions Problem 7.1. Companies A and B have been offered the following rates per annum on a $20 million five -year loan: Fixed Rate Floating Rate Company A 5.0% LIBOR+0.1% Company B 6.4% LIBOR+0.6% Company A requires a floating-rate loan; company B requires a fixed-rate loan. Design a swap that will net a bank, acting as intermediary, 0.1% per annum and that will appear equally attractive to both companies. A has an apparent comparative advantage in fixed-rate markets but wants to borrow floating. B has an apparent comparative advantage in floating-rate markets but wants to borrow fixed. This provides the basis for the swap. There is a 1.4% per annum differential between the fixed rates offered to the two companies and a 0.5% per annum differential between the floating rates offered to the two companies. The total gain to all parties from the swap is therefore 1405 09% per annum. Because the bank gets 0.1% per annum of this gain, the swap should make each of A and B 0.4% per annum better off. This means that it should   lead to A borrowing at LIBOR 0 3 % and to B borrowing at 6.0%. The appropriate arrangement is therefore as shown in Figure S7.1. Figure S7.1: Swap for Problem 7.1 Problem 7.2. Company X wishes to borrow U.S. dollars at a fixed rate of interest. Company Y wishes to borrow Japanese yen at a fixed rate of interest. The amounts required by the two companies are roughly the same at the current exchange rate. The companies have been quoted the following interest rates, which have been adjusted for the impact of taxes: