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- 2011-7-11
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Receiver swaption = receive fixed rate. You win when rates go down.
Call option on bond = receive difference between bond price and strike price. You win when rates go down.
Hence, they are equivalent in terms of interest rate sensitivity. This is no excuses material that was covered heavily in this forum last year.
NO EXCUSES |
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发表于 2011-7-13 16:52
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