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3#
发表于 2011-7-13 15:24
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right to enter into swap as fixed receiver, floating payer. You would want rates to fall (pay a lower float). If rates fall, bond prices go up and the payoff would be like that of a call option on a bond.
If you want to make a non-callable a callable, then you want rates to fall (theoretically you would then call the bonds at the low rate). by holding a receiver swaption, you received the fixed rate (use it to pay off your fixed rate obligation on the bond), and pay the lower floating rate as if you had called those bonds and reissued at the lower floating rate. |
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