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LOS f: Explain and interpret the characteristics and uses of swaptions, including the difference between payer and receiver swaptions.
Q1. A payer swaption gives its holder:
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.
Q2. The writer of a receiver swaption has:
A) the right to enter a swap in the future as the floating-rate payer.
B) an obligation to enter a swap in the future as the floating-rate payer.
C) an obligation to enter a swap in the future as the fixed-rate payer.
Q3. 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 London Interbank Offered Rate (LIBOR) yield curve, Roberts should:
A) buy a receiver swaption.
B) buy a payer swaption.
C) write a receiver swaption.
Q4. An investor who anticipates the need to exit a pay-fixed interest rate swap prior to expiration might:
A) buy a payer swaption.
B) buy a receiver swaption.
C) sell a payer swaption.
Q5. Which of the following statements regarding swaptions is FALSE? A swaption is often used to:
A) hedge the rate on an anticipated swap transaction.
B) create a synthetic bond position.
C) provide the right to terminate a swap.
Q6. Which of the following is least likely to be a use of a swaption?
A) Hedging the risk of a current fixed-rate commitment.
B) Exiting an offsetting swap at the exercise date.
C) Hedging the risk of an anticipated floating-rate obligation. | 
发表于 2009-4-2 09:50
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