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珈柠 · 2024年07月16日

C选项

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?

1 个答案
已采纳答案

李坏_品职助教 · 2024年07月16日

嗨,从没放弃的小努力你好:


swap value在计算的时候,如果是pay floating,那是用固定利率部分的价值 减去 浮动利率部分的价值。


这个原理实际上就是把swap看做固定利息债券和浮动利息债券这两种资产,用固定利息债券的价值 减去 浮动利息债券的价值,这个过程就是用两种债券去replicate一份swap。

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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