NO.PZ2016031201000007
问题如下:
An interest rate swap is a derivative contract in which:
选项:
A.two parties agree to exchange a series of cash flows.
B.the credit seller provides protection to the credit buyer.
C.the buyer has the right to purchase the underlying from the seller.
解释:
A is correct.
An interest rate swap is defined as a derivative in which two parties agree to exchange a series of cash flows: One set of cash flows is variable, and the other set can be variable or fixed.
B is incorrect because a credit derivative is a derivative contract in which the credit protection seller provides protection to the credit protection buyer. C is incorrect because a call option gives the buyer the right to purchase the underlying from the seller.
中文解析:
利率互换是一个双方约定交换一系列现金流的衍生品合约,A正确。
B选项错误,B描述的是信用衍生产品的定义,并不是swap的概念。信用衍生品其实是对特定信用事情发生时所产生的亏损所提供的保护,典型的例子是CDS。它的本质是一个保险,如果发生信用亏损,卖保险的人就向买保险的人提供一定的补偿。
C选项错误,C描述的是看涨期权,该期权给予买方从卖方购买标的的权利。
利率互换产生的现金流是指购买或发行bond所产生的固定or浮动利息吗