问题如下:
If no cash is initially exchanged, a swap is comparable to a series of forward contracts when:
选项:
A.the swap payments are variable.
B.the combined value of all the forward contracts is zero.
C.all the forward contracts have the same agreed- on price.
解释:
B is correct. When two parties engage in a series of forward contracts and initially agree on a price of FS0(T), some of the forward contracts have positive values and some have negative values, but their combined value equals zero.
A is incorrect because for a swap, all payments are fixed and equal, not variable.
C is incorrect because forward prices are determined by the spot price and the net cost of carry, meaning that forward contracts expiring at different times will have different prices, not the same price.
请问为什么一系列的forward contract 加起来价值等于0?还有为什么swap的现金流的固定的呢?我理解的不应该是一方给固定现金流一方给浮动现金流,浮动现金流肯定不固定呀