单选题 Two parties enter a three-year, plain-vanilla interest-rate swap agreement to exchange the LIBOR rate for a 10 percent fixed rate on $10 million. LIBOR is 11 percent now, 12 percent at the end of the first year, and 9 percent at the end of the second year. If payments are in arrears, which of the following characterizes the net cash flow, to be received by the fixed-rate payer?

A、

A. $100000 at the end of year 2.
B、

B. $100000 at the end of year 3.
C、

C. $200000 at the end of year 2.

【正确答案】 C

【答案解析】Year Fix pay Vat. pay Net Dollars 1 10% 11% 1% to fixed + $100.000 2 10% 12% 2% to fixed + $200.000 3 10% 9% 1% to variable - $100.000