NO.PZ2018062007000031
问题如下：
Which of the following statements about the value of a swap is not true:
选项：
A.is zero at initiation.
B.remains the same over the life of the contract.
C.is obtained through replication.
解释：
B is correct.
Replication strategy is used to value the swap. At initiation, the present value of the fixed-rate payments equals the present value of the expected floating-rate payments, so the value of a swap is zero. As with the series replicated forwards contracts, the value of a swap changes with expected future floating rates over time.
中文解析：
swap在合约签订时，价值为0；之后的价值随着未来浮动利率的变化而发生变化，并不是固定不变的，因此B的说法有误。题干问的是哪一个说法是错误的，因此选择B。
A选项为什么正确？不是有off-market forward的情况吗？
