标题: Reading 70: Option Markets and Contracts LOSe习题精选 [打印本页]
作者: honeycfa 时间: 2010-4-26 14:22 标题: [2010] Session 17 - Reading 70: Option Markets and Contracts LOSe习题精选
LOS e: Define interest rate caps, floors, and collars.
An investor who bought a floating-rate security and wishes to establish a minimum periodic cash flow on his investment could:
|
A) |
buy an interest-rate floor. | |
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B) |
sell an interest-rate floor. | |
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C) |
sell an interest-rate cap. | |
The buyer of a floor will receive a payment when the floating rate is below the floor rate, effectively establishing a minimum rate on the floating rate security.
作者: honeycfa 时间: 2010-4-26 14:22
Buying an interest-rate cap and selling an interest-rate floor is equivalent to:
|
A) |
buying a series of interest-rate puts and selling a series of interest rate calls. | |
|
B) |
buying a series of interest-rate calls and selling a series of interest-rate puts. | |
|
C) |
buying a series of interest-rate puts and calls. | |
A cap is equivalent to a series of (long) interest-rate calls and selling a floor is equivalent to selling a series of interest-rate puts.
作者: honeycfa 时间: 2010-4-26 14:22
The owner, of an interest-rate cap will:
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A) |
be required to make a payment if the market rate exceeds the cap rate. | |
|
B) |
receive a payment if the market rate is less than the cap rate. | |
|
C) |
receive a payment if the market rate exceeds the cap rate. | |
An interest-rate cap will pay its owner the maximum of zero or the market rate minus the cap rate, times the notional principal.
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