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leozhenlin · 2020年05月18日

问一道题:NO.PZ2018062007000092 [ CFA I ]

问题如下:

A plain vanilla interest rate swap is also known as:

选项:

A.

a basis swap.

B.

a fixed- for- floating swap.

C.

an overnight indexed swap.

解释:

B is correct. A plain vanilla swap is a fixed- for- floating interest rate swap, which is the most common type of swap. A is incorrect because a basis swap is a transaction based on the TED spread (T- bills versus Eurodollars) and is not the same as a plain vanilla swap. C is incorrect because an overnight indexed swap is a swap that is tied to a federal funds type of rate, reflecting the rate at which banks borrow overnight, and is not the same as a plain vanilla swap.

A选项是basisi swap是什么意思

1 个答案

xiaowan_品职助教 · 2020年05月18日

同学你好,

basis swap并不在我们一级衍生的内容里,它涉及到的是两个不同品种间价差的交易,所以并不是普通的互换类型