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2024年FRM金融风险管理师资格考试（PART Ⅰ）精选模拟试题及答案二
1). Suppose that your client has entered into a CMS swap with semi-annual fixings， where fixings are 6 months in arrears of payments.The CMS rates are quoted for swaps with semi-annual payments on the fixed leg.The first fixing at inception has just passed， and the first payment is due in 6 months.The swap requires your client to pay the 5-year constant maturity swap rate for 2years and receive the 1-month LIBOR plus 25bp.The client has.requested you to provide an analysis of his risk exposure from entering into this deal.According to your analysis， the client position is sensitive to the following zero coupon yield curve points：( )
A.tenors every day from overnight to 7-year
B.6 month， 1 -year， and 2-year.tenors
C.tenors every day from overnight to 6.5-year
D.tenors 6 months， then every 6 months until 6.5-year

正确答案：D