In the first question in the Forwards chapter we are asked to find the value of the swap made at inception, the underlying price is 1000, the interest rate is 6.75%, and the time is 1.
The answer is So -F(0,T)/(1+R).
My question is, isn’t the value of a forward at inception considered to be zero? I thought the book was very explicit about that, but it answers the question very differently… |
发表于 2013-4-2 11:05
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