请教level 1 有关derivative的一道问题 equivalent, difference, payments, between, forward

shenjinyize

这是一道2015 level 1, study session 17-Basics of Derivative Pricing and Valuation的notes后面的习题：

The difference between a fixed-for-floating swap and an equivalent series of forward contracts is that:


A. the payment dates would be unlikely to match
B. all the fixed-rate payments in a swap are equal
C. the floating-rate payments in a swap are unknown


答案给出的是B.解释如下：
“The difference between a fixed-for-floating swap and a series of forward contracts is that all the fixed-rate payments in a swap are equal. A swap can be replicated by a series of forward contracts that expire on each of the swap’s payment dates, but the fixed rates on these forward contracts are not necessarily equal.”  




但是notes里面有如下这段话：”Therefore, we can describe an interest rate swap as equivalent to a series of forward contracts, specifically forward rate agreements, each with a forward contract rate equal to the swap fixed rate.  




这样的解释不是前后矛盾么？不知道是否我理解有偏差，还请大家指点迷津

shiverson

each with a forward contract rate equal to the swap fixed rate. 并不是指这些fwd contract rate都一样，而是说每一个fwd contract rate都对应那个period的rate。

建议你理解一下什么是series of fwd contract，对应的rate的标准是什么。

现实中，这种series of fwd contract就好比你今天的contract的rate是定的，但是下一个period的rate要过些日子才能定。所以这个rate不是固定的一个值，not necessarily equal。

eric4xin

For IRS, the rate for fixed leg is certain number for each period. Taking time value of money into account, they are not worth the same given the same amount of cash flow in each period. For forward contracts, in order to get the same payment as IRS payment for fixed leg, we need to adjust for fixed rate at each period.