NO.PZ2024042601000069
问题如下：
Assume that swap rates are identical for all swap tenors. A swap dealer entered into a plain-vanilla swap one year ago as the receive-fixed party, when the price of the swap was 7%. Today, this swap dealer will face credit risk exposure from this swap only if the value of the swap for the dealer is
选项：
A.Negative, which will occur if new swaps are being priced at 6%
B.Negative, which will occur if new swaps are being priced at 8%
C.Positive, which will occur if new swaps are being priced at 6%
D.Positive, which will occur if new swaps are being priced at 8%
解释：
老师，有点忘记了plain-vanilla swap，是pay fix rate receive foat rate，然后7%的时候 fix=float rate，难道不是未来float上升，对手方成本增加容易违约么
