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]

LOS g: Identify and calculate the possible payoffs and cash flows of an interest rate swaption. fficeffice" />

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.

Correct answer is A)

The payoff on a receiver swaption is like that of a call option on a bond issued at the exercise date of the swaption, with a coupon equal to the fixed rate of the swap, and a term equal to that of the swap.

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.

Correct answer is A)

The payoff on a payer swaption is equivalent to that of a put option on a bond as described in the question.

07年官方CFA L2 付费模拟题3 （50美金题）