NO.PZ2021061002000037
问题如下:
Which of the following
statements about swap pricing is most correct?
选项:
A. The swap can be viewed as a
series of forward contracts, all of which have an initial value of 0.
B. The initial value of a
series of forward contracts implied in the swap is not equal.
C. There is no forward
contract whose initial value is not equal to 0
解释:
B is correct
我们在学习的forward
contract时,知道在0时刻的远期合约的value都为0。
但是swap这边其实会对每一个forward合约做一个变形,使得变形后的每一个forward在0时刻value不为零,或者为正或者为负,也就是课程中所讲到的的off-market forward概念。
但这些forward加总在一起的value和仍然是0,于是就得到了可以看作一系列远期合约的互换,其期初价值为0。
所以A选项说互换可以看作一系列期初价值都为0的远期合约是错误的;
B选项说互换中隐含的远期合约期初价值并不相等,这是正确的;
C选项说不存在期初价值不为0的远期合约,这是错误的,期初价值不为0的远期合约叫做“off-market
forward”
off market forward期初价值不为0但加总价值为0对吧?
off market forward的price是不是都相同呢