答案和详解如下： 11.Miller asks Johnson which of the following strategies allows an investor to benefit from both increasing and decreasing interest rates? A) Sell an at the money cap and an at the money floor. B) Buy an at the money cap and sell an at the money floor. C) Sell an at the money cap and buy an at the money floor. D) Buy an at the money cap and an at the money floor. The correct answer was D) This is a straddle on interest rates. The cap provides a positive payoff when interest rates rise and the floor provides a positive payoff when interest rates fall. Explanations for incorrect answers:
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Sell an at the money cap and an at the money floor - In this case the investor would suffer from increasing and decreasing interest rates since the caplets and floorlets would be exercised against him. §
Buy an at the money cap and sell an at the money floor - In this case the investor would suffer from decreasing interest rates since the floorlets would be exercised against him. §
Sell an at the money cap and buy an at the money floor - In this case the investor would suffer from increasing interest rates since the caplets would be exercised against him. 12.Johnson now considers the floating rate bond shown in Table 2. Specifically, Johnson considers this note from the perspective of the issuer. If the issuer decided to hedge the interest rate risk associated with this liability which of the following is the most appropriate hedge? A) Buying an interest rate floor. B) Selling Eurodollar futures. C) Selling an interest rate cap. D) Selling an interest rate floor. The correct answer was B) If a short position in Eurodollar futures is added to the existing liability in the correct amount, the interest risk is hedged. Incorrect answer explanations: Buying an interest rate floor is a hedge against declining interest rates if one has a long position in a floating rate bond. Selling an interest rate cap or an interest rate floor are not hedges against changing interest rates. | 
发表于 2008-5-19 15:42
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