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- 2011-7-11
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- 2014-8-2
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actually the answer depends if the LIBOR for the first interest period is already fixed or not.
If not, I say close 3 FRAs (0x6 first one, the question is if anyone would quote it)
We could also argue that there is no information when the swap starts, ...
but obviously the answer is C,
the cash flows will not match, the value will not match,
they have equivalent interest rate risk (more or less) |
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发表于 2011-7-13 14:59
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