注册 登录
上一主题：Did you guys do all the EOC questions?
下一主题：Indexing strategy
返回列表 发帖
adehbone

Rank: 2

UID
222262 
帖子
236 
主题
65 
注册时间
2011-7-2 
最后登录
2014-6-29 
1# 跳转到 » 倒序看帖
打印
tT
发表于 2011-7-11 20:06 | 只看该作者

weighted average of forward rates

difference, receiving, average, forward, because
Having a lot of trouble with this one.
Vol. 5 page161 says the swap rate is a weighted average of the component forward rates.
However, page 144 goes to great lengths to explain that the swap rate is NOT an average of forward rates because of the benefit of receiving greater amounts early in the term.
I can't figure out the difference. Anyone help?

 

相关主题：

. 请教level 1 有关derivative的一道问题

. 请问大家一道关于derivative的问题

. CFA/Schweser Mock Scores

. Portfolio Standard Deviation Question

. CFA Level 3 Ethics

收藏 分享

Unforseen

Rank: 2

UID
222295 
帖子
348 
主题
4 
注册时间
2011-7-2 
最后登录
2014-6-29 
2#
发表于 2011-7-11 20:06 | 只看该作者
Oh ok I think I get that. So you take the pv of the forward rates and that determines the weights?
Thanks, that pulls everything together.

TOP

Darien

Rank: 2

UID
222308 
帖子
397 
主题
6 
注册时间
2011-7-2 
最后登录
2016-8-1 
3#
发表于 2011-7-11 20:06 | 只看该作者
Actually, it's more intuitive than what is in L2 formula. It's basically stating that the pv(receiv floating leg cash flows)=pv(pay fixed leg cash flows).

Forwards determine the "future" cash flow payments in receive floating leg.

Swap rate, the fixed rate, can be derived from the above equation.



Edited 1 time(s). Last edit at Saturday, May 28, 2011 at 08:33PM by deriv108.

TOP

返回列表
上一主题：Did you guys do all the EOC questions?
下一主题：Indexing strategy