CH 7 notations

Question 1

Bf ix

Answer 1

Value of fixed-rate bond underlying the swap

Question 2

Bf l

Answer 2

Value of floating-rate bond underlying the swap

Question 3

BF

Answer 3

is the value, measured in foreign currency, of the bond defined by the foreign cash flows on the swap.

Question 4

BD

Answer 4

is the value of the bond defined by the domestic cash flows on the

Question 5

S0

Answer 5

is the spot exchange rate (expressed as number of dollars per unit of foreign currency)