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91
When LIBOR is used as the discount rate:
A.The value of a swap is worth zero immediately after a payment date
B. The value of a swap is worth zero immediately before a payment date
C.The value of the floating rate bond underlying a swap is worth par immediately after a payment date
D.The value of the floating rate bond underlying a swap is worth par immediately before a payment date
A.The value of a swap is worth zero immediately after a payment date
B. The value of a swap is worth zero immediately before a payment date
C.The value of the floating rate bond underlying a swap is worth par immediately after a payment date
D.The value of the floating rate bond underlying a swap is worth par immediately before a payment date
Answer: C
The value of the floating rate bond underlying an interest rate swap is worth par immediately after a swap payment date. This result is used when the swap is valued as the difference between two bonds.
The value of the floating rate bond underlying an interest rate swap is worth par immediately after a swap payment date. This result is used when the swap is valued as the difference between two bonds.
Karteninfo:
Autor: CoboCards-User
Oberthema: Finance & Investment
Thema: Derivatives
Veröffentlicht: 27.10.2015