问题
单项选择题
Consider a quarterly-pay currency swap where Party A pays London Interbank Offered Rate (LIBOR) on $1000000 and Party B pays 4 percent on 900000 euros. Current LIBOR is 3 percent and at the end of 90 days it is 4 percent. Which of the following statements regarding the first settlement date is TRUE()
A. Party A must make a payment of $10000.
B. The payments net to zero and no payment is made.
C. Party A must make a payment of $7500.
答案
参考答案：C
解析：
Floating rate payments in a swap are based on the reference rate for the prior period. The payment is: 0.03 × 90/360 × 1000000 = $75000.