NO.PZ2016031201000031
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.
中文解析：
swap的value在期初为0，但是在合约期内，这个价值是会随着标的物资产的价值的改变而改变的，所以是处于一个波动的状态，所以A和C都是错误的。
我们对swap进行估值时，是将其等效为两个债券的现金流，将未来的现金流折现求净值得到的，是基于一个replication的原理，所以B是正确的。
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根据讲义，swap可以看作是一系列的forward contract，而a forward transaction that starts with a zero value is called at-market forward，a forward transaction that starts with a nonzero value is called off-market forward。
如何知道分拆swap后的forward是off-market forward还是at-market forward? 如果是off-market forward，那initiation value便不是0，那就可以选A了，不是吗?
（此刻心情：四大类衍生品的pricing & valuation好难理解，一下子关注t=0，一下子又问t=t，一下子又问t=T；还得要不要考虑持有期间的成本或好处；有时直接折现，有时还得做差再折现。😭😭😭😭）
