问题 问答题

一份货币互换还有15个月的期限。这笔互换规定每年交换利率为14%,本金为2000万英镑和利率为10%,本金为3000万美元两笔借款的现金流。美国和英国现在的利率期限结构都是平的。如果这笔互换是今天签订的,那将是用8%的美元利率交换11%的英镑利率。上述利率是连续复利。即期汇率为1英镑=1.6500美元。请问上述互换对支付英镑的那一方价值为多少对支付美元的那一方价值为多少

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解析:一份货币互换还有15个月的期限。这笔互换规定每年交换利率为14%,本金为2000万英镑和利率为10%,本金为3000万美元两笔借款的现金流。美国和英国现在的利率期限结构都是平的。如果这笔互换是今天签订的,那将是用8%的美元利率交换11%的英镑利率。上述利率是连续复利。即期汇率为1英镑=1.6500美元。请问上述互换对支付英镑的那一方价值为多少对支付美元的那一方价值为多少
[解] 可以用远期合约的组合来给互换定价。英镑和美元的连续复利年利率分别为 10.43%和7.70%。3个月和15个月的远期汇率分别为1.65e-0.25×0.0276=1.6388和1.65e-1.25×0.0273=1.5946。对支付英镑的一方,远期合约的价值为
(3-2.8×1.6388)e-0.077×0.25=-1.56(百万美元)
(3-2.8×1.5946)e-0.077×1.25=-1.33(百万美元)
本金交换对应的远期合约的价值为
(30-20×1.5946)e-0.077×1.25=1.72(百万美元)
所以互换合约的价值为-1.56-1.33-1.72=-4.61(百万美元)。

问答题 案例分析题
单项选择题

Low levels of literacy and numeracy have a damaging impact on almost every aspect of adults, according to a survey published yesterday, which offers (1) of a developing underclass. Tests and (2) with hundreds of people born in a week in 1958 graphically illustrated the (3) of educational underachievement. The effects can be seen in unemployment, family (4) , low incomes, depression and social inactivity.

Those who left school at 16 with poor basic skills had been employed for up to four years less than good readers (5) they reached 37. Professor John Bynner, of City University, who carried the research, said that today’s (6) teenagers would even encounter greater problems because the supply of (7) jobs had shrunk.

Almost one fifth of the 1,700 people interviewed for yesterday’s report had poor literacy and almost half (8) with innumeracy, a proportion (9) other surveys for the Basic Skills Agency. Some could not read a child’s book, and most found difficult (10) written instruction.

Poor readers were twice as likely to be a low wage and four times likely to live in a household where partners worked. Women in this (11) were five times as likely to be (12) depressed, (13) both tended to feel they had no control over their lives, and to trust others (14) .

Those who had low literacy and numeracy were seldom (15) in any community organization and less likely than others to (16) in a general election. There had been no (17) in the literary level of (18) reporting problems.

Alan Wells, the agency’s director, said: “ The results emphasize the dangers of developing an underclass people, who were out of work, (19) depressed and often labeled themselves as (20) . There is a circle of marginalization, with the dice against these people and their families.”

8()

A.struggled

B.faced

C.encountered

D.confronted