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　　9.    A bank had entered into a 3-year interest rate swap for a notional amount of USD 300 million, paying a fixed rate of 7.5% per year and receiving LIBOR annually. Just after the payment was made at the end of the first year, the continuously compounded 1-year and 2-year annualized LIBOR rates were 7% per year and 8% per year, respectively. The value of the swap at that time was closest to which of the following choices?
　　A.    USD -14 million
　　B.    USD -4 million
　　C.    USD 4 million
　　D.    USD 14 million
　　這道題用折現(xiàn)的思想怎么做？
　　答案：C
　　答疑：這道題由于采用的是連續(xù)復(fù)利，所以在FRA定價(jià)中將7%和8%作為利率水平會(huì)產(chǎn)生誤差，建議還是采用債券法的方法來(lái)進(jìn)行計(jì)算，如果是一般復(fù)利，兩種方法算出來(lái)應(yīng)該是一樣的。具體做法如下：