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台风来了 · 2023年02月03日

这题的A选项应该也是对的吧?

NO.PZ2021061002000055

问题如下:

QWR enters a 5-year interest rate swap in which QWR pays the fixed rate of 3% for the first semiannual period and receives an initial six-month MRR of 2.65%.

Based on the information above, which of the following statements is true?

选项:

A.

Three months after the inception of the trade, QWR has an MTM loss on the swap, because it owes a net settlement payment to its counterparty.

B.

Three months after the inception of the trade, QWR has an MTM gain on the swap, because after the first known net payment to its counterparty, the remainder of the future cash flows must have a positive present value from QWR's perspective.

C.

We do not have enough information to determine whether the swap has a positive or negative value from QWR's perspective after the inception of the trade.

解释:

中文解析

本题考察的是互换在合约期间的value。

互换合约的value由互换两端的利率大小来决定,虽然固定端的利率已知,但是浮动端的利率是随着市场变化而变化的,无法确定下来.

因此我们此时无法判断3个月后,站在QWR的角度上互换的value是正还是负。

这题的A选项应该也是对的吧?因为他要支付3%的利率,收到2.65%的利率,会有一个净支出。是吗?

1 个答案

Lucky_品职助教 · 2023年02月04日

嗨,从没放弃的小努力你好:


2.65%的利率是6个月的,在3个月的时候我们不知道利率是多少哦,因此无法判断loss

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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