You are quoted the following rates: Spot cable 1.5340-43 0/N cable swap 0.14/0.11 T/N cable swap 0.16/0.13 S/N cable swap 0.43/0.37 At what rate can you buy cable for value tomorrow?
A) 1.534284
B) 1.534316
C) 1.534287
D) 1.534313

Question

You are quoted the following rates: Spot cable        1.5340-43 0/N cable swap    0.14/0.11 T/N cable swap    0.16/0.13 S/N cable swap    0.43/0.37 At what rate can you buy cable for value tomorrow?
A) 1.534284
B) 1.534316
C) 1.534287
D) 1.534313

Quizplus · Accepted Answer

To buy cable for value tomorrow, we need to use the T/N cable swap rate. The rate for this is 0.16/0.13, which means if we pay 0.16 we can buy cable and receive it the next day, and if we sell cable the next day we can receive 0.13. To calculate the rate we add the spot rate (1.5340) to the points (0.14) which gives us 1.5340+0.0014=1.534316. Therefore, the best choice is B.

You Are Quoted the Following Rates: Spot Cable 1