[問題] 2009 LV2 模擬考題afternoon session Q.53
看板CFAiafeFSA (精算師/基金經理人/銀行家)作者lovelymephy (我找不到對的鑰匙)時間14年前 (2011/06/03 14:04)推噓2(2推 0噓 5→)留言7則, 5人參與討論串1/1
原題意是說 某人發表了一個statement :
A receiver swaption permits the holder to enter into a pay floating position
and is equivalent to a put option.
個人認為pay floating position 跟 as a put option都對，
但解答說receiver swaption is equivalent to a call option.
但receiver是當swap rate decrease時才valuable, 所以當預期 rate falling
時也會買reciever swaption啊。
題目也沒有說是equivalent to take put option against bond price
or interest rate.
有各位高手能協助解釋這題嗎？還是答案錯了？
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