A security known as an interest-rate swap can be modeled as a portfolio consisting of either...
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A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price. A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price. A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price. A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price. A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price. A security known as an interest-rate swap can be modeled as a portfolio consisting of either (i) a long position in a floating-rate bond and a short position in a fixed-rate bond (a payer swap) or (ii) a long position in a fixed-rate bond and a short position in a floating-rate bond (a receiver swap).2 Briefly explain: • The price of the swap when the swap is created. • How changes in the yield curve after the swap is created result in changes to the swap price.
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1 The price of the swap when the swap is created The price of an interestrate swap at inception ie w... View the full answer
Related Book For
Excellence in Business Communication
ISBN: 978-0136103769
9th edition
Authors: John V. Thill, Courtland L. Bovee
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