CFA考试资料答案R37 Pricing and Valuation of Forward Commitments - Answers.pdf
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Question #1 of 78 Question ID: 1210491
Which of the following is equivalent to a plain vanilla receive- xed interest rate swap?
A) A short position in a bond coupled with the issuance of a oating rate note.
B) A long position in a bond coupled with the issuance of a oating rate note.
C) A short position in a bond coupled with a long position in a oating rate note.
Explanation
7
A long position in a xed rate bond receives xed coupons. The short oating rate note 3
2
1
requires oating-rate payments. Together, these are the same cash ow as a receive- xed q
swap. i
s
u
(Study Session 14, Module 37.7, LOS 37.c) m
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a
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