quiz_4_vb_solutions[1]

quiz_4_vb_solutions[1] - Version B Fin 536 Quiz 4 Solutions...

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Version B 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 drops, the bank has a ___loss_ ___ (loss/gain) in the swap trading; ii. if the market interest rate on euros drop, the bank has a ____gain ___ (loss/gain) in the swap trading; iii. if the euro depreciates against the dollar, the bank has a ___loss ___ (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
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quiz_4_vb_solutions[1] - Version B Fin 536 Quiz 4 Solutions...

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