LOS h: Calculate and interpret the value of an interest rate swaption on the expiration day.
Q1. The LIBOR yield curve is:
|
180-days |
5.2% |
|
360-days |
5.4% |
What is the value of a 1-year semiannual-pay LIBOR based receiver swaption (expiring today) on a $10 million 1-year 4.8% swap?
A) $50,712.
B) -$50,712.
C) $0.
Q2. The London Interbank Offered Rate (LIBOR) yield curve is:
- 180-days: 5.2%.
- 360-days: 5.4%.
What is the value of a LIBOR-based payer swaption (expiring today) on a $10 million 1-year 4.8% swap?
A) $50,712.
B) ?$50,712.
C) $0.
Q3. Cal Smart wrote a 90-day receiver swaption on a 1-year LIBOR-based semiannual-pay $10 million swap with an exercise rate of 3.8%. At expiration, the market rate and LIBOR yield curve are:
Fixed rate 3.763%
180-days 3.6%
360-days 3.8%
The payoff to the writer of the receiver swaption at expiration is:
A) -$3,600.
B) $0.
C) $3,600. | 
发表于 2009-4-2 09:54
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