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Which of the Following Statements Is INCORRECT

Question 17

Multiple Choice

Which of the following statements is INCORRECT?


A) A swap is equivalent to a combination of forward rate agreements and zero-coupon bonds.
B) Analogous to a yield curve for US Treasury securities,one can create a "swap curve" from bbalibor rates for Eurodollars and par swap rates.
C) The primary difference between the Treasury yield curve and the swap curve is usually attributed to credit risk.
D) 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.
E) Just as forward rates can be computed from coupon bond prices,they can also be computed from swap rates via an analogous procedure.

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