殷同學(xué)
2024-09-15 06:29Determine the correct answers to fill in the blanks: A rise in the expected forward rates after inception will __________ the present value of floating payments, causing a fixed-rate receiver to realize a(n) ____________ in MTM value on the swap contract 可以再解釋一下這道題為什么rise in expected forward rates will increase the PV of floating payments嗎？
所屬：CFA Level I > Derivatives 視頻位置 相關(guān)試題
來(lái)源： 視頻位置 相關(guān)試題
1個(gè)回答
Essie助教
2024-09-21 11:28
該回答已被題主采納
同學(xué)你好，當(dāng)市場(chǎng)對(duì)未來(lái)短期利率的預(yù)期上升時(shí)，意味著市場(chǎng)預(yù)期未來(lái)的浮動(dòng)利率會(huì)高于當(dāng)前水平。因此，未來(lái)的浮動(dòng)利率端的支付將會(huì)增大。即使使用相同的貼現(xiàn)率來(lái)計(jì)算現(xiàn)值，未來(lái)支付金額的增加會(huì)導(dǎo)致其現(xiàn)值也隨之增加。
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