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发表于 2010-4-22 11:08 | 只看该作者

Reading 61: Swap Markets and Contracts-LOS b, (Part 2) 习题精

label, style, center, interest, 2010
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts

LOS b, (Part 2): Explain the equivalence of a plain vanilla swap to a combination of an interest rate call and interest rate put.

 

 

 

Writing a series of interest-rate puts and buying a series of interest-rate calls, all at the same exercise rate, is equivalent to:

A)
 being the floating-rate payer in an interest rate swap.
B)
 a short position in a series of forward rate agreements.
C)
 being the fixed-rate payer in an interest rate swap.


 

A short position in interest rate puts will have a negative payoff when rates are below the exercise rate; the calls will have positive payoffs when rates exceed the exercise rate. This mirrors the payoffs of the fixed-rate payer who will receive positive net payments when settlement rates are above the fixed rate.

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土豆妮

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2#
发表于 2010-4-22 11:08 | 只看该作者

For a 1-year quarterly-pay swap, an equivalent position with short puts and long calls would involve:

A)
 put-call combinations expiring on each of the four settlement dates.
B)
 three put-call combinations on the last three settlement dates of the swap.
C)
 three put-call combinations expiring on the first three settlement dates of the swap.


Interest rate options pay one period after exercise. Options expiring on settlements at t = 1,2,3, will mimic the uncertain swap payments at t = 2,3,4.

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土豆妮

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3#
发表于 2010-4-22 11:08 | 只看该作者

The fixed-rate receiver in a plain vanilla interest rate swap has a position equivalent to a series of:

A)
 long interest-rate puts.
B)
 long interest-rate puts and short interest-rate calls.
C)
 short interest-puts and long interest-rate calls.


The fixed-rate receiver has profits when short rates fall and losses when short rates rise, equivalent to buying puts and writing calls.

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4#
发表于 2010-4-22 11:09 | 只看该作者

The fixed-rate payer in an interest-rate swap has a position equivalent to a series of:

A)
 long interest-puts and short interest-rate calls.
B)
 long interest-rate puts and calls.
C)
 short interest-rate puts and long interest-rate calls.


The fixed-rate payer has profits when short rates rise and losses when short rates fall, equivalent to writing puts and buying calls.

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5#
发表于 2010-4-22 11:09 | 只看该作者

The floating-rate payer in a simple interest-rate swap has a position that is equivalent to:

A)
 issuing a floating-rate bond and a series of long FRAs.
B)
 a series of short FRAs.
C)
 a series of long forward rate agreements (FRAs).


The floating-rate payer has a liability/gain when rates increase/decrease above the fixed contract rate; the short position in an FRA has a liability/gain when rates increase/decrease above the contract rate.

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6#
发表于 2010-4-22 11:10 | 只看该作者

A plain vanilla interest-rate swap to the fixed-rate payer is equivalent to issuing a fixed-rate bond and:

A)
 selling a series of interest rate puts.
B)
 selling a series of interest rate calls.
C)
 buying a floating-rate bond.


Paying fixed and receiving floating in a swap is equivalent to issuing a fixed-rate bond and investing the proceeds in a floating rate bond.

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7#
发表于 2010-4-22 11:10 | 只看该作者

Which of the following is equivalent to a plain vanilla receive-fixed interest rate swap?

A)
 A short position in a bond coupled with a long position in a floating rate note.
B)
 A short position in a bond coupled with the issuance of a floating rate note.
C)
 A long position in a bond coupled with the issuance of a floating rate note.


A long position in a fixed rate bond pays fixed coupons. The short floating rate note requires floating-rate payments. Together, these are the same cash flow as a receive-fixed swap.

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8#
发表于 2010-4-22 11:10 | 只看该作者

Which of the following is equivalent to a plain vanilla receive fixed currency swap?

A)
 A short position in a foreign bond coupled with a long position in a dollar-denominated floating rate note.
B)
 A long position in a foreign bond coupled with the issuance of a dollar-denominated floating rate note.
C)
 A short position in a foreign bond coupled with the issuance of a dollar-denominated floating rate note.


A long position in a fixed rate foreign bond will receive fixed coupons denominated in a foreign currency. The short floating rate note requires U.S. dollar denominated floating-rate payments. Combined, these are the same cash flow as a plain vanilla currency swap.

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