張同學(xué)
2018-10-30 21:52By construction, the forward rates are the sequence of future one-period discount rates imbedded in the value of all swap tenors today. At the end of the first period, the current short-term (6-month) rate will drop out of the sequence. If the rest of the series remains the same—which is what it means for the curve to move to the forward rates—then the fixed side of every swap will increase in value by exactly the current short rate. Of course, that is the rate being paid on the floating side of the swaps, so each tenor breaks even. (Institute 140) Institute, CFA. 2019 CFA Program Curriculum Level III Volume 4. CFA Institute, 5/2018. VitalBook file. 老師您好！ Reading24P140頁(yè)的案例最后一段， 1、這個(gè)break even怎么理解呀？ 2、書中說(shuō)“then the fixed side of every swap will increase in value by exactly the current short rate”，在上文中increase in value不是33bp嗎？難道應(yīng)該是the current short rate—2.03%？實(shí)在不理解！ 謝謝老師的耐心！
所屬：CFA Level III 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
Sherry Xie助教
2018-11-01 12:23
該回答已被題主采納
同學(xué)你好，breakeven就是收入=支出的意思。current short rate就是current short-term rate(6 month)
0
0
0
0
