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bigeagle · 2023年12月24日

floating rate bond financed using a fixed-rate bond这句话是什么意思

  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.

floating rate bond financed using a fixed-rate bond这句话是什么意思

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1 个答案

李坏_品职助教 · 2023年12月24日

嗨，努力学习的PZer你好：


floating rate bond financed using a fixed-rate bond这句话的意思是：用固定利率债券进行融资，以用来支持购买浮动利率债券。


在swap里面，

  1. 你支付固定利息，这就等价于利用固定利率债券进行了融资（类似于发行一个固定利率债券，要按时支付固定利息）；
  2. 然后你收取浮动利息，这就等价于购买了浮动利率债券（按时收取浮动利息）。


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努力的时光都是限量版，加油！

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