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Hugo(Xie Lanzhi) · 2020年08月18日

问一道题:NO.PZ2018062007000075

问题如下:

If no cash is initially exchanged, a swap is comparable to a series of forward contracts when:

选项:

A.

the swap payments are variable.

B.

the combined value of all the forward contracts is zero.

C.

all the forward contracts have the same agreed- on price.

解释:

B is correct. When two parties engage in a series of forward contracts and initially agree on a price of FS0(T), some of the forward contracts have positive values and some have negative values, but their combined value equals zero.

A is incorrect because for a swap, all payments are fixed and equal, not variable.

C is incorrect because forward prices are determined by the spot price and the net cost of carry, meaning that forward contracts expiring at different times will have different prices, not the same price.

请问为什么一系列的forward contract 加起来价值等于0?还有为什么swap的现金流的固定的呢?我理解的不应该是一方给固定现金流一方给浮动现金流,浮动现金流肯定不固定呀

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已采纳答案

xiaowan_品职助教 · 2020年08月18日

嗨,爱思考的PZer你好:


同学你好,

先回答swap现金流固定的问题,准确的说应该是固定端现金流是固定的,教材中的说法:“But for a swap, all the fixed payments are equal.”A选项依然是不选的。

对于forward contract的问题,这里选项指的是在0时刻的value。对于我们之前学习的forward contract,在0时刻的value都是0,多个forward加总在一起也是0,但是swap这边其实会对每一个forward合约做一个变形,也就是老师课中所提到的off-market forward,使得每一个forward都调整到一样的价格,这就导致变形后的每一个forward在0时刻value不为零,有的是正的,有的是负的,但这些forward加总在一起的value和仍然是0。

同学也可以回顾一下基础班Swap Pricing and Valuation这个视频1.5倍速9:30附近,老师关于这个原理的详细讲解


-------------------------------
虽然现在很辛苦,但努力过的感觉真的很好,加油!


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NO.PZ2018062007000075问题如下 If no cash is initially exchange a swis comparable to a series of forwarcontracts when: A.the swpayments are variable. the combinevalue of all the forwarcontracts is zero.C.all the forwarcontracts have the same agree on price. B is correct. When two parties engage in a series of forwarcontracts aninitially agree on a priof FS0 (T), some of the forwarcontracts have positive values ansome have negative values, but their combinevalue equals zero. A is incorrebecause for a swap, all payments are fixeanequal, not variable. C is incorrebecause forwarprices are terminethe spot prianthe net cost of carry, meaning thforwarcontracts expiring fferent times will have fferent prices, not the same price. 中文解析我们之前学习的forwarcontract,在0时刻的value都是0,多个forwar总在一起也是0,但是swap这边其实会对每一个forwar约做一个变形,也就是老师课中所提到的off-market forwar使得每一个forwar调整到一样的价格,这就导致变形后的每一个forwar0时刻value不为零,有的是正的,有的是负的,但这些forwar总在一起的value和仍然是0。 C怎么描述可以变正确呢?分拆完的每节的forwaroff-market后,使其价格都等于相同的price,这个不叫agreeon price那叫什么呀?

2022-05-04 16:29 1 · 回答

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2022-01-17 19:04 1 · 回答

NO.PZ2018062007000075 可以翻一下C 讲一下为什么C错了吗

2021-06-11 21:21 1 · 回答

the combinevalue of all the forwarcontracts is zero. all the forwarcontracts have the same agree on price. B is correct. When two parties engage in a series of forwarcontracts aninitially agree on a priof FS0(T), some of the forwarcontracts have positive values ansome have negative values, but their combinevalue equals zero. A is incorrebecause for a swap, all payments are fixeanequal, not variable. C is incorrebecause forwarprices are terminethe spot prianthe net cost of carry, meaning thforwarcontracts expiring fferent times will have fferent prices, not the same price. 题目if后面的条件,能不能翻一下中文意思?

2020-03-21 14:32 1 · 回答