With regards to Commodity Swaps (Reading 37- Page 147 CFAI), i understand that swap prices will change to due changes in interest rates and change in forward price of oil. I am trying to following two additional statements a) Even if oil and interest rate foward prices do not change, the value of the swaps will remain zero until the first swap payment is made, b) thus even if prices do not change, the market value of the swap changes over time due to the implicit borrowing and lending.
I would appreciate any feedback.作者: noel 时间: 2013-4-11 03:38
Try thinking about b) as ‘even if prices do not change, the market value of the swap changes AFTER THE FIRST PAYMENT due to implicit borrowing and lending’
