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Lay You Lum · 2020年10月04日

问一道题:NO.PZ2018062007000065

问题如下:

Which of the following is most likely the underlying of a plain vanilla interest rate swap?

选项:

A.

180- day Libor

B.

10- year US Treasury bond

C.

Bloomberg Barclay’s US Aggregate Bond Index

解释:

A is correct. In a plain vanilla interest rate swap, an interest rate, such as Libor, serves as the underlying. A plain vanilla interest rate swap is one of many derivatives in which a rate, not the instrument that pays the rate, is the underlying.

B is incorrect because a plain vanilla interest rate swap is one of many derivatives in which a rate, not an instrument that pays a rate, is the underlying.

C is incorrect because a plain vanilla interest rate swap is one of many derivatives in which a rate, not an instrument (or index) that pays a rate, is the underlying.

这道题B、C应该怎么理解

2 个答案

丹丹_品职答疑助手 · 2020年10月25日

同学你好,b项说的是十年国债,c选项说的是一个index。这都不对呀,原版书明确指明了答案是浮动利率,如libor

丹丹_品职答疑助手 · 2020年10月06日

嗨,努力学习的PZer你好:


同学你好,首先irs的本身就是为了对冲其浮动利率的咱们 plain vanilla interest rate swap一般也是指的是libor。详见原版书

 


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广超 · 2020年10月24日

没有回答问题

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