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- 2011-7-11
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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? |
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发表于 2011-7-13 16:14
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