标题: Receiver Swaption equivalent to call option [打印本页] 作者: rohitdoshi 时间: 2011-7-13 16:14 标题: Receiver Swaption equivalent to call option
I know I could just memorize that a receiver swaption is equivalent to call option, but I can't rationalize it...
Isn't it true that in a receiver swaption the person receives fixed and pays float, so gain is to be made when interest rate drops. Doesn't this seem more like a put option?作者: benbenxiong 时间: 2011-7-13 16:14
Are you sure you don't mean a call option on the fixed income bond? (i.e. Not interest rate option, but on the price of the bond itself.)
