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Olivia.W🌸 · 2024年04月21日

swps

  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.

支付固定利息，这个为什么还要对冲？它都固定了

收到浮动，那不是还怕利率上涨吗？为什么不是long floating rate（上涨赚钱）

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1 个答案

pzqa35 · 2024年04月23日

嗨，努力学习的PZer你好：


这道题目是说想要复制一个支付固定、收到浮动的swap应该怎么做：

那也就相当于是买了一个浮动利率的债券（可以收到浮动利率）同时卖空了一个固定利率债券（需要支付固定利率），所以C选项是正确的。

这里并没有涉及到对冲的问题，是想要复制一样的swap。

一个支付固定、收到浮动的swap，是在利率上涨的时候有收益。

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