NO.PZ2016031201000032
问题如下:
The price of a swap typically:
选项:
A.is zero at initiation.
B.fluctuates over the life of the contract.
C.is obtained through a process of replication.
解释:
C is correct.
Replication is the key to pricing a swap. The swap price is determined at initiation by replication. The value (not the price) of the swap is typically zero at initiation and the fixed swap price is typically determined such that the value of the swap will be zero at initiation.
中文解析:
C选项:复制就是用其它的方法来到达同一个目的, 比如一个有风险的资产和一个衍生品可以得到无风险资产。我们不直接买一个无风险资产是因为有可能复制出来的东西交易成本更低,两个相同的东西成本不一样,就会产生套利,所以其实复制是套利的基础,而我们定价都是基于无套利的原则,因此复制也是定价的基础。所以选择C。
期初:互换的value=0,不是price=0,A错误。
互换的value自合约期间是不断变化的,而price是不变的,B错。
swap合约的price就是fixed rate吗,所以才不变
在forward和futures里面price是F0(T)很好理解,但是swap里的price概念就有点混淆