Derivatives Q94

0. Which of the following statements is most accurate?

A
A swap is equivalent to a series of forward contracts, each created at the swap price.
B
A swap is equivalent to a series of long forward contracts, matched with short future contracts.
C
A swap is equivalent to a series of forward contracts, each created at their appropriate forward prices.

Answer
Comment
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Option : A
Explanation : Each implicit forward contract is said to be off-market, because it is created at the swap price, not the appropriate forward price, which would be the price created in the forward market.

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