NO.PZ2018113001000050
问题如下:
XYZ will raise funds using a floating interest rate loan in one year, it concerns that the interest rates will increase, so it wants to use swaption to hedge interest rate risk. XYZ should:
选项:
A.buy a payer swaption
B.buy a receiver swaption
C.sell a payer swaption
解释:
A is correct.
考点:swaption管理利率风险
解析:
XYZ想hedge利率上升的风险,则应该将浮动利率负债变成固定利率负债。
如果利率真的上升时,XYZ可以选择执行swaption,进入一个收浮动、付固定的swap(payer swap) 来抵消支付的浮动利率利息,所以XYZ需要买入一个payer swaption.
为什么收浮付固叫payer