标题: Reading 61: Swap Markets and Contracts-LOS b, (Part 1) 习题精 [打印本页]
作者: 土豆妮 时间: 2010-4-22 11:07 标题: [2010]Session 17-Reading 61: Swap Markets and Contracts-LOS b, (Part 1) 习题精
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):
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A) |
provides a series of payments. | |
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B) |
has a positive value at contract initiation. | |
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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.
作者: 土豆妮 时间: 2010-4-22 11:07
A swap is equivalent to a series of:
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B) |
FRAs priced at market rates. | |
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Since the fixed rate on the swap is the same at every settlement date, a series of FRAs at those fixed rates will have values that differ from zero to the extent the fixed rate and the zero-value rate differ. This makes them off-market FRAs.
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