国际金融--利率互换和货币互换例题.doc

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1、【精品文档】如有侵权，请联系网站删除，仅供学习与交流国际金融-利率互换和货币互换例题.精品文档.CHAPTER 14 INTEREST RATE AND CURRENCY SWAPS1. Alpha and Beta Companies can borrow for a five-year term at the following rates: AlphaBetaMoodys credit ratingAaBaaFixed-rate borrowing cost10.5%12.0%Floating-rate borrowing costLIBORLIBOR + 1%a. Calculate

2、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 this transaction.2. Do problem 1 over again,

3、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 subsidiary generates 25,000,000 a ye

4、ar, 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. The current exchange rate is 1.

5、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.