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Olivia.W🌸 · 2024年06月18日

b为什么不对？

  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.

off the market又是啥意思

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2 个答案

李坏_品职助教 · 2024年08月24日

嗨，努力学习的PZer你好：


a series of forward contracts这个定义是没问题的，但是本题是问你如何复制一个interest rate swap，选一个最佳方案。


如果要用forward合约，我们需要定制化的，每0.5年或每个季度都要有对应的forward合约，而且一份forward合约只产生一份现金流，我们需要N个forward合约组合起来。这样会非常繁琐。


相比之下，用bond去复制swap是最合适的，也很方便。因为一个fixed bond + floating bond本身就包含了不同期限的现金流，不需要弄一堆bond再去组合。

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虽然现在很辛苦，但努力过的感觉真的很好，加油！

李坏_品职助教 · 2024年06月19日

嗨，从没放弃的小努力你好：


off the market意思是场外合约。因为大部分forward合约期限都比较短，如果为了强行复制出swap，那需要签订很多私人订制的场外合约，非常繁琐。


而且利率的远期合约（FRA）是提前结算（set advanced），这一点与普通的swap合约有本质区别（swap都是在每个coupon payment date结算的，不是提前结算），所以不能用利率远期合约直接复制swap。


相比之下，用short fixed bond和long floating bond，既可以满足期限的要求，又不会出现结算时间点的差异，所以C最合适。

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努力的时光都是限量版，加油！

Frances · 2024年08月24日

可是swap的定义就是a series of forward contracts. 解释里面说B不正确的原因是Due to differences in timing, the forward contracts need to be off-market contracts.为什么，不理解。

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