NO.PZ2018062007000031
问题如下:
Which of the following statements about the value of a swap is not true:
选项:
A.
is zero at initiation.
B.
remains the same over the life of the contract.
C.
is obtained through replication.
解释:
B is correct.
Replication strategy is used to value the swap. At initiation, the present value of the fixed-rate payments equals the present value of the expected floating-rate payments, so the value of a swap is zero. As with the series replicated forwards contracts, the value of a swap changes with expected future floating rates over time.
中文解析:
swap在合约签订时,价值为0;之后的价值随着未来浮动利率的变化而发生变化,并不是固定不变的,因此B的说法有误。题干问的是哪一个说法是错误的,因此选择B。
不是说price是通过replication算出来的吗?那value怎么也是这样算的啊?