NO.PZ2021061002000054
问题如下:
Which of the following statements is wrong associated with the interest rate swap position?
选项:
A.Both a receive-fixed and a pay-fixed swap
counterparty will face an initial swap contract value (ignoring transaction and
counterparty credit costs) of zero.
A receive-fixed swap counterparty will make a net payment if the initial market reference rate sets above the fixed swap rate.
A receive-fixed swap counterparty will realize an MTM gain if implied forward rates rise.
解释:
中文解析
注意本题让选择的是表述错误的一项。
互换合约在期初的时value为0,不论是对互换双方中的哪一方,因此A选项表述是对的;
收到固定利率的一方,对应的就是支付浮动利率的一方,在利率上升,并且支付的浮动利率高于收到的固定利率的时候,会有一个净支出,因此B选项是正确的;
支付固定利率的一方,对应的就是收到浮动利率的一方,在利率上升的时候获利。C选项说反了。
Does a receive-fixed swap counterparty mean fixed rate payer?