问题
单项选择题
Consider a $10000000 1-year quarterly-pay swap with a fixed rate of 4.5 percent and a floating rate of 90-day London Interbank Offered Rate (LIBOR) plus 150 basis points. 90-day LIBOR is currently 3 percent and the current forward rates for the next four quarters are 3.2 percent, 3.6 percent, 3.8 percent, and 4 percent. If these rates are actually realized, at the second quarterly settlement date, the fixed-rate payer in the swap will:
A．
| A. receive a payment of $10000. |
B．
| B. receive a payment of $ 5000. |
C．
| C. be required to pay $117500. |
答案
参考答案：B
解析：The payment at the second settlement date will be based on 90-day LIBOR realized at the first settlement date, 3.2%. The payment (net) by the floating-rate payer will be: (0.032+0.015-0.045)×90/360×10000000=$5000