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🌊Yuri🌊 · 2023年08月03日

问

  1. CFA I
  2. Derivative

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。

那c是啥意思

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1 个答案

Lucky_品职助教 · 2023年08月03日

嗨，努力学习的PZer你好：


从定义上来讲，replication复制就是用其它的方法来达到同一个目的， 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，所以复制是套利的基础，而我们定价/估值都是基于无套利的原则，因此复制是定价/估值的基础。

从形式上来讲，swap是通过复制一系列的forward产生的，所以C选项正确。

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