在HANDBOOK 6TH page 539 example 22.11:
which of the following 10-year swaps has the highest potential credit exposure?
a A cross-currency swap after 2 years
b A cross-currency swap after 9 years
c An interest rate swap after 2 years
d An interest rate swap after 9 years
此题的标准答案为a ,我的困惑是a和b两个答案，在前面537页的figure 22.10显示随着时间的进展，exposure 逐渐变大，书中也有“the peak exposure occurs at the end of the life of the swap"，这个与此题的答案是否矛盾？请各位不吝指教，谢谢 ！
a 是答案
首先，currency swap的ce肯定是大于interest rate swap的，因为future CFs包含了principal的交换。cd排除。
其次，currency swap在horizon是要交换interest的，对于任何一方，profile都类似in-the-money interest rate swap, and the curve skews to the right, 所以CE at 2 year to the staring point 大于CE at 2 year to the ending point。
A cross-currency swap after 9 years means only 1 year left to maturity compared with 8 years left in choice A. Please read the problem carefully enough. Also, you other guys should not explain the answer given the answer is correct without careful reading on the problem!!!! It could be quite misleading.
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