quiz_4_va_solutions[1]

quiz_4_va_solutions[1] - Version A Fin 536 Quiz 4 Solutions...

Info iconThis preview shows pages 1–2. Sign up to view the full content.

View Full Document Right Arrow Icon
Version A Fin 536 Quiz 4 Solutions Name_________ Section________ 1. (6pts, Fill out the answers) a. (Interest rate swap) National Bank enters an interest rate swap, paying Libor rate and receiving a fixed interest rate in the swap deal. If the market interest rate (Libor) drops later, the bank has a ___gain_ _____ (loss/gain) in the swap trading. b. (Currency swap) National Bank has entered a currency swap, paying a fixed interest rate on dollars and receiving a fixed interest rate on euros in the swap deal. Then, other variables holding constant, i. if the market interest rate on dollars rises, the bank has a __gain_ ___ (loss/gain) in the swap trading; ii. if the market interest rate on euros rises, the bank has a ___loss_ ___ (loss/gain) in the swap trading; iii. if the euro appreciates against the dollar, the bank has a ____gain_ ___ (loss/gain) in the swap trading. c. (Greek letters) List relevant variables and signs of the following Greek letters of options on euro. Greek letter
Background image of page 1

Info iconThis preview has intentionally blurred sections. Sign up to view the full version.

View Full DocumentRight Arrow Icon
Image of page 2
This is the end of the preview. Sign up to access the rest of the document.

This note was uploaded on 09/06/2011 for the course FIN 536 taught by Professor Staff during the Spring '11 term at S.F. State.

Page1 / 2

quiz_4_va_solutions[1] - Version A Fin 536 Quiz 4 Solutions...

This preview shows document pages 1 - 2. Sign up to view the full document.

View Full Document Right Arrow Icon
Ask a homework question - tutors are online