问题
单项选择题
XYZ company has entered into a "plain-vanilla" interest rate swap on $1000000 notional principal. XYZ company pays a fixed rate of 8 percent on payments that occur at 90-day intervals. Six payments remain with the next one due in exactly 90 days. On the other side of the swap, XYZ company receives payments based on the LIBOR rate. Describe the transaction between XYZ company and the dealer at the end of the fourth period if the appropriate LIBOR rate is 9.2 percent.
A．
| A. XYZ company pays dealer $3000. |
B．
| B. Dealer receives $20000. |
C．
| C. Dealer pays XYZ company $3000. |
答案
参考答案：C
解析：XYZ company owes the dealer $1000000 × 0.08 × (90/360) = $20000. The dealer owes XYZ company $1000000 ×0.092 × (90/360) = $23000. Net: the dealer pays XYZ company $23000 - $20000 = $3000.