Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts
LOS b, (Part 1): Explain the equivalence of interest rate swaps to a series of off market forward rate agreements (FRAs).
An off-market forward rate agreement (FRA):
|
A) |
provides a series of payments. | |
|
B) |
has a positive value at contract initiation. | |
|
C) |
cannot be priced with market rates. | |
An off-market FRA has a contract rate that differs from the zero-value rate at the inception of the contract; by definition, it has a positive value to one of the parties to the FRA. | 
发表于 2010-4-22 11:07
|