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LOS g: Identify and calculate the possible payoffs and cash flows of an interest rate swaption.
Q1. The payoff on a receiver swaption is most like that of a:
A) call option on a coupon bond.
B) put option on a discount bond.
C) put option on a coupon bond.
Q2. Consider a 3-year quarterly-pay bond to be issued in 180 days with a 7% coupon. A 180-day put option on this bond, with an exercise price rate of 7%, has a payoff equal to that of a:
A) payer swaption.
B) receiver swap.
C) receiver swaption.
[此贴子已经被作者于2009-4-2 9:52:19编辑过] | 
发表于 2009-4-2 09:52
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