Which of the following statements is NOT true? O Analogous to a yield curve for U.S....
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Which of the following statements is NOT true? O Analogous to a yield curve for U.S. Treasury securities, one can create a "swap curve" from bbalibor rates for Eurodollars and par swap rates. 2 pts O Just as forward rates can be computed from coupon bond prices, they can also be computed from swap rates via an analogous procedure. O As the swap curve is constructed from swap rates, which in turn are based on Treasury securities, it must be identical to the Treasury yield curve. O The primary difference between the Treasury yield curve and the swap curve is usually attributed to credit risk. A swap is equivalent to a combination of forward rate agreements and zero- coupon bonds. 3 Which of the following statements is NOT true? O Analogous to a yield curve for U.S. Treasury securities, one can create a "swap curve" from bbalibor rates for Eurodollars and par swap rates. 2 pts O Just as forward rates can be computed from coupon bond prices, they can also be computed from swap rates via an analogous procedure. O As the swap curve is constructed from swap rates, which in turn are based on Treasury securities, it must be identical to the Treasury yield curve. O The primary difference between the Treasury yield curve and the swap curve is usually attributed to credit risk. A swap is equivalent to a combination of forward rate agreements and zero- coupon bonds. 3
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Auditing and Assurance Services
ISBN: 978-0077862343
6th edition
Authors: Timothy Louwers, Robert Ramsay, David Sinason, Jerry Straws
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