NO.PZ202208260100000606
问题如下：
Aceenters a 10-year GBP interest rate swap with a client in which Ace receivesan initialsix-month GBP MRR of 1.75% and pays a fixed GBP swap rate of 3.10%for the firstsemiannual period. Six months later, Ace and its counterparty settlethe firstswap payment, and no change has occurred in terms of future interestrateexpectations. Which of the following statements best describes the value ofthe swap fromAce’sperspective?
选项：
A.Ace has an MTM gain on the swap,because once it makes the first known net payment to its counterparty, theremainder of the future net fixed versus floating cash flows must have apositive present value from Ace’s perspective.
B.Ace has an MTM loss on the swap,because once it receives the first known payment from its counterparty, theremainder of the future net fixed versus floating cash flows must have anegative present value from Ace’s perspective.
C.While the present value of fixed andfuture cash flows was set to zero by solving for the swap rate at inception, wedo not have enough information to determine whether the swap currently has apositive or negative value from Ace’s perspective following inception
解释：
A is correct. Ace makes the first netpayment because the fixed-rate payment is greater than the floating ratereceived. Given no change in forward interest rates, this implies that theremaining net cash flows must have positive present value to Ace. B isincorrect as this response states the opposite compared to the prior response.C is incorrect because we have information about forward rate expectations.
不是未来的市场利率不确定么？所以MTM value不应该无法确定？为啥选A
