张同学2018-10-30 21:52:40

By 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. 老师您好！ Reading24P140页的案例最后一段， 1、这个break even怎么理解呀？ 2、书中说“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吗？难道应该是the current short rate—2.03%？实在不理解！ 谢谢老师的耐心！