标题: Reading 61: Swap Markets and Contracts-LOS f 习题精选 [打印本页]
作者: 土豆妮 时间: 2010-4-22 11:14 标题: [2010]Session 17-Reading 61: Swap Markets and Contracts-LOS f 习题精选
Session 17: Derivative Investments: Options, Swaps, and Interest Rate and Credit Derivatives
Reading 61: Swap Markets and Contracts
LOS f: Explain and interpret the characteristics and uses of swaptions, including the difference between payer and receiver swaptions.
A payer swaption gives its holder:
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A) |
an obligation to enter a swap in the future as the fixed-rate payer. | |
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B) |
the right to enter a swap in the future as the floating-rate payer. | |
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C) |
the right to enter a swap in the future as the fixed-rate payer. | |
A payer swaption give its holder the right to enter a swap in the future as the fixed-rate payer.
作者: 土豆妮 时间: 2010-4-22 11:15
The writer of a receiver swaption has:
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A) |
the right to enter a swap in the future as the floating-rate payer. | |
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B) |
an obligation to enter a swap in the future as the floating-rate payer. | |
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C) |
an obligation to enter a swap in the future as the fixed-rate payer. | |
A receiver swaption gives its owner the right to receive fixed, the writer has an obligation to pay fixed.
作者: 土豆妮 时间: 2010-4-22 11:15
Mark Roberts anticipates utilizing a floating rate line of credit in 90 days to purchase $10 million of raw materials. To get protection against any increase in the expected London Interbank Offered Rate (LIBOR) yield curve, Roberts should:
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B) |
buy a receiver swaption. | |
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C) |
write a receiver swaption. | |
A payer swaption will give Roberts the right to pay a fixed rate below market if rates rise.
作者: 土豆妮 时间: 2010-4-22 11:15
An investor who anticipates the need to exit a pay-fixed interest rate swap prior to expiration might:
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B) |
sell a payer swaption. | |
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C) |
buy a receiver swaption. | |
A receiver swaption will, if exercised, provide a fixed payment to offset the investor’s fixed obligation, and allow him to pay floating rates if they decrease.
作者: 土豆妮 时间: 2010-4-22 11:15
Which of the following statements regarding swaptions is FALSE? A swaption is often used to:
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A) |
create a synthetic bond position. | |
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B) |
hedge the rate on an anticipated swap transaction. | |
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C) |
provide the right to terminate a swap. | |
A swaption is like an option on a bond with payments equal to the fixed payments on the swap. The others are common uses of swaps.
作者: 土豆妮 时间: 2010-4-22 11:15
Which of the following is least likely to be a use of a swaption?
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A) |
Hedging the risk of a current fixed-rate commitment. | |
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B) |
Exiting an offsetting swap at the exercise date. | |
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C) |
Hedging the risk of an anticipated floating-rate obligation. | |
Swaptions will not be a good hedge for a current obligation since the swaption is for a swap in the future.
作者: 土豆妮 时间: 2010-4-22 11:16
Wanda Brunner, CFA, is contemplating adding a swaption to her portfolio. Which of the following is least likely her goal?
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A) |
provide short-term liquidity. | |
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B) |
interest rate speculation. | |
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The three primary uses of swaptions are to lock in a fixed rate, interest rate speculation, and swap termination.
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