|
- UID
- 28124
- 帖子
- 105
- 主题
- 0
- 注册时间
- 2006-6-3
- 最后登录
- 2013-5-4
|
2#
发表于 2009-6-3 17:13
| 只看该作者
A receiver swaption is equivalent to long put option on interest rate, long a call on an bond portfolio.
个人认为cfai书上遗漏了 call/put 的 underlying assets (a bond / stock /interest rate).
personal opinion just for reference. |
|
