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发表于 2010-4-26 14:20 | 只看该作者

Reading 70: Option Markets and Contracts LOSd习题精选

2010, equivalent, agreement, contrast
LOS d: Compare and contrast interest rate options with forward rate agreements (FRAs).

A forward rate agreement is equivalent to:

A)
 a long interest rate call and a written interest rate put.
B)
 either an interest rate put or an interest rate call.
C)
 a swap.


A long forward rate agreement is equivalent to a call (profits when interest rates go up) and a written put (losses when interest rates go down).

 
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honeycfa

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2#
发表于 2010-4-26 14:21 | 只看该作者

Which combination of interest rate options most likely has the same pattern of payoffs as the short position in a forward rate agreement?

Interest rate call option Interest rate put option

A)
Long Short
B)
Short Long
C)
Long Long


A short position in an FRA will have a positive payoff when the reference rate is less than the contract rate, and a negative payoff when the reference rate is greater than the contract rate, at expiration. A short interest rate call will have a negative payoff when the reference rate is greater than the strike rate, and a long put will have a positive payoff when the reference rate is less than the strike rate.

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honeycfa

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3#
发表于 2010-4-26 14:21 | 只看该作者

A long interest rate call and a short interest rate put is an equivalent position to:

A)
 a long position in a forward rate agreement.
B)
 a pay-fixed interest rate swap.
C)
 a short position in a forward rate agreement.


A long call and short put on interest rates is equivalent to a long position in a forward rate agreement. Both gain when forward rates increase and decline in value when interest rates decrease.

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honeycfa

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4#
发表于 2010-4-26 14:21 | 只看该作者

A short position in a forward rate agreement is equivalent to:

A)
 writing an interest rate put and buying an interest rate call.
B)
 writing an interest rate call and buying an interest rate put.
C)
 writing both an interest rate put and an interest rate call.


A short position in a forward rate agreement is an obligation to make a hypothetical loan at the contract rate and will be profitable when the forward rate falls. An equivalent position using interest rate options is to buy a put and write a call.

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