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3#
发表于 2011-7-13 15:55
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it is equivalent to a call option on a bond because they both benefit when interest rates fall. in a receiver swaption, you pay floating and receive fixed, therefore your betting on rates to fall.
similarly in a call option in a bond , you are betting that interest rates will fall, hence you get to buy the bond at cheaper price. remember that the price of bonds and interest rates are inversely related. |
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