NO.PZ2018062007000075
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.
中文解析:
我们之前学习的forward contract,在0时刻的value都是0,多个forward加总在一起也是0,但是swap这边其实会对每一个forward合约做一个变形,也就是老师课中所提到的off-market forward,使得每一个forward都调整到一样的价格,这就导致变形后的每一个forward在0时刻value不为零,有的是正的,有的是负的,但这些forward加总在一起的value和仍然是0。
可以翻一下C 讲一下为什么C错了吗