标题: Reading 70: Option Markets and Contracts LOSd习题精选 [打印本页]
作者: honeycfa 时间: 2010-4-26 14:20 标题: [2010] Session 17 - Reading 70: Option Markets and Contracts LOSd习题精选
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. | |
|
|
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).
作者: honeycfa 时间: 2010-4-26 14:21
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 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.
作者: honeycfa 时间: 2010-4-26 14:21
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.
作者: honeycfa 时间: 2010-4-26 14:21
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.
| 欢迎光临 CFA论坛 (http://forum.theanalystspace.com/) |
Powered by Discuz! 7.2 |