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摇一摇 · 2023年08月22日

为什么B不对呢

  1. CFA I
  2. Derivative

NO.PZ2023040401000068

问题如下：

A swap in which the investor receives a variable payment in line with market conditions and makes a fixed payment can best be replicated by purchasing a:

选项：

A.

set of long futures contracts which are matched with short forward contracts.

B.

series of forward contracts, each with an initial value of zero.

C.

floating rate bond financed using a fixed-rate bond.

解释：

C is correct. The payment structure is replicated by being long the floating rate bond and being short the fixed-rate bond.

A is incorrect. This strategy does not replicate a swap in which the investor receives a variable payment in line with market conditions and makes a fixed payment.

B is incorrect. Due to differences in timing, the forward contracts need to be off-market contracts.

Due to differences in timing, the forward contracts need to be off-market contracts.

还有，这句话怎么理解呢

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1 个答案

Lucky_品职助教 · 2023年08月24日

嗨，努力学习的PZer你好：


我们在学习forward contract时，知道在0时刻的远期合约的value都为0。

但是swap这里其实会对每一个forward合约做一个变形，使得变形后的每一个forward在0时刻value不为零，或者为正或者为负，也就是课程中所讲到的的off-market forward概念。但这些forward加总在一起的value是0，于是就得到了可以看作一系列远期合约的互换，其期初价值为0。

另外注意，除了在互换定价这里存在off-market forward，其他情景下我们遇到的forward合约，就是咱们正常学习的forward合约，在0时刻的value为0哈。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

Frances · 2024年08月24日

所以off market forward的初始价值不为0. B错在前半句是对的，后半句错了？

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