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Caren · 2021年01月01日

问一道题:NO.PZ2016031201000031 [ CFA I ]

问题如下:

The value of a swap typically:

选项:

A.

is non-zero at initiation.

B.

is obtained through replication.

C.

does not fluctuate over the life of the contract.

解释:

B is correct.

Valuation of the swap during its life appeals to replication and the principle of arbitrage. Valuation consists of reproducing the remaining payments on the swap with other transactions. The value of that replication strategy is the value of the swap. The swap price is typically set such that the swap contract has a value of zero at initiation. The value of a swap contract will change during the life of the contract as the value of the underlying changes in value.

可以翻译B项吗?如何理解这个复制?
1 个答案

丹丹_品职答疑助手 · 2021年01月02日

嗨,爱思考的PZer你好:


同学你好,解析就是b选项的解释。

期限内的swap估值来源于复制和套利原则。swap的 估值包括是将其剩余时间段的现金流相加。 复制策略的求的价值就是swap的价值。 互换价格通常设定为互换合约开始时的价值为零。 互换合约的价值在合约有效期内会随着潜在价值的变化而变化。


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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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