2. 外语
  3. Consider a threes-year swap initiated on March 1,2003, in which company B agrees to pay company A an interest rate of 5% per ann

Consider a threes-year swap initiated on March 1,2003, in which company B agrees to pay company A an interest rate of 5% per ann

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问题 Consider a threes-year swap initiated on March 1,2003, in which company B agrees to pay company A an interest rate of 5% per annum on a notional principal of $100million and in return company A agrees to pay to company B the six-month LIBOR rate on the same notional principal. When the first exchange of payments took place on September 1,2003, company A would pay ______. (6-month LIBOR on March 1,2003 and on September 1,2003 are respectively 2% and 8% per annum.)
选项 A、$2.1 million
B、$2.5million
C、$2.1467million
D、$102.1million
答案C
解析 答案为C项。根据句意，计算时需要注意：①题中名义本金(notional principal)的提法说明该利率互换中本金不交换；②利息计算一年按360天计，计息天数按实际天数；③每期付款所使用的是前一期付款曰时的LIBOR，本题中用2003年3月1日的6个月LIBOR。所以，A公司9月1日应支付：100×2％×184／360=$1467million。故本题选C项。
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金融英语（FECT）

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