NO.PZ2024042601000069
问题如下:
Assume that swap rates are identical for all swap tenors. A swap dealer entered into a plain-vanilla swap one year ago as the receive-fixed party, when the price of the swap was 7%. Today, this swap dealer will face credit risk exposure from this swap only if the value of the swap for the dealer is
选项:
A.Negative, which will occur if new swaps are being priced at 6%
B.Negative, which will occur if new swaps are being priced at 8%
C.Positive, which will occur if new swaps are being priced at 6%
D.Positive, which will occur if new swaps are being priced at 8%
解释:
老师,有点忘记了plain-vanilla swap,是pay fix rate receive foat rate,然后7%的时候 fix=float rate,难道不是未来float上升,对手方成本增加容易违约么