Reading 73: Option Markets and Contracts - LOS c ～ Q1-4

答案和详解如下：

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

A)                                        Long      Long

B)                                        Long      Short

C)                                        Short     Long

D)                                        Short     Short

The correct answer was C)

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.

2.A forward rate agreement is equivalent to:

A)   a swap.

B)   a long interest rate call and a written interest rate put.

C)   either an interest rate put or an interest rate call.

D)   either a written put or a written call on interest rates.

The correct answer was B)

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).

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

A)   writing an interest rate put and buying an interest rate call.

B)   buying an interest rate put and an interest rate call.

C)   writing an interest rate call and buying an interest rate put.

D)   writing both an interest rate put and an interest rate call.

The correct answer was C)

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.

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

A)   a short position in a forward rate agreement.

B)   a pay-fixed interest rate swap.

C)   a long position in a forward rate agreement.

D)   a pay-floating interest rate swap.

The correct answer was C)

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.