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Nancy 王悦 · 2020年08月16日

问一道题:NO.PZ2016031201000031 [ CFA I ]

问题如下:

The value of a swap typically:

选项:

A.

is non-zero at initiation.

B.

is obtained through replication.

C.

does not fluctuate over the life of the contract.

解释:

B is correct.

Valuation of the swap during its life appeals to replication and the principle of arbitrage. Valuation consists of reproducing the remaining payments on the swap with other transactions. The value of that replication strategy is the value of the swap. The swap price is typically set such that the swap contract has a value of zero at initiation. The value of a swap contract will change during the life of the contract as the value of the underlying changes in value.

a为什么错,一系列远期合约折现,期初不等于零呀

2 个答案

lynn_品职助教 · 2021年11月23日

嗨,从没放弃的小努力你好:


衍生品定价的基础就是无套利假设和一价原则,所以T0时刻支付的衍生品价格 = 后续cash flow的现值,也就是说,在T0时刻,衍生品交易双方的net value是0。

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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!

xiaowan_品职助教 · 2020年08月17日

嗨,爱思考的PZer你好:


同学你好,

初始时刻互换的value是为0的,以固定换浮动为例,我们在每个reset date交换现金流,固定端的现金流折现和应该等于浮动端的现金流折现和。


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加油吧,让我们一起遇见更好的自己!


欢欢 · 2021年11月23日

是不是除了option,其他的衍生品比如远期、互换、期货的初始时刻互换的value都是0呀?因为期初双方是公平交易的。

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