NO.PZ2023041003000019
问题如下：
Lastly, MAA has a number of
fixed- rate investments, which Kozorez is looking to hedge against rising
rates. He asks Nils to review interest rate swap contracts. Nils determines
that MAA should enter into a receive-floating, pay- fixed swap. He recognizes
that this arrangement will require an exchange of cash flows at initiation, and
he sets out to calculate the arbitrage- free amount of the cash flows. Based on
his work on other types of derivative instruments, he realizes that he could
synthetically create a swap contract through either a portfolio of underlying
instruments or a portfolio of forward contracts.
Which
of Nils’s determinations in his analysis of the interest rate swap contracts is
least likely correct?
选项：
A.Exchange of cash flows
The structure of the swap
The equivalency to using instruments or forwards
解释：
A swap contract
value at initiation is zero, and there is no exchange of cash flows except on
the coupon payment dates.
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