1.Which of the following is least likely to be a use of a swaption? A) Exiting an offsetting swap at the exercise date. B) Hedging the risk of a current fixed-rate commitment. C) Speculating on the direction of interest rate changes. D) Hedging the risk of an anticipated floating-rate obligation. The correct answer was B) Swaptions will not be a good hedge for a current obligation since the swaption is for a swap in the future. 2.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 LIBOR yield curve, Roberts should: A) buy a receiver swaption. B) write a payer swaption. C) buy a payer swaption. D) write a receiver swaption. The correct answer was C) A payer swaption will give Roberts the right to pay a fixed rate below market if rates rise. 3.The writer of a receiver swaption has: A) an obligation to enter a swap in the future as the fixed-rate payer. B) the right to enter a swap in the future as the floating-rate payer. C) the right to enter a swap in the future as the fixed-rate payer. D) an obligation to enter a swap in the future as the floating-rate payer. The correct answer was A) A receiver swaption gives its owner the right to receive fixed, the writer has an obligation to pay fixed. 4.A payer swaption gives its holder: A) the right to enter a swap in the future as the floating-rate payer. B) the right to enter a swap in the future as the fixed-rate payer. C) an obligation to enter a swap in the future as the fixed-rate payer. D) an obligation to enter a swap in the future as the floating-rate payer. The correct answer was B) A payer swaption give its holder the right to enter a swap in the future as the fixed-rate payer. 5.Which of the following statements regarding swaptions is FALSE? A swaption is often used to: A) provide the right to terminate a swap. B) hedge the rate on an anticipated swap transaction. C) speculate on interest rate changes. D) create a synthetic bond position. The correct answer was D) 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. 6.An investor who anticipates the need to exit a pay-fixed interest rate swap prior to expiration might: A) buy a receiver swaption. B) buy a payer swaption. C) sell a payer swaption. D) sell a receiver swaption. The correct answer was A) 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. | 
发表于 2008-5-14 17:48
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