NO.PZ2023020101000026
问题如下:
IST Risk Solutions provides institutional financial risk management
advisory and brokerage services. Clients seek IST’s services when evaluating
whether to hedge interest rate, currency, or equity market risks. Simon Weber,
senior adviser at IST, is discussing a new client with analyst Noel Franco.
Weber states: “Newport State College plans a $10 million
laboratory renovation for its science center and has engaged IST to implement
options strategies in order to manage the risk of rising interest rates. The
renovation is to be completed in 12 months, in time for the start of the school
year. To minimize disruption to its academic schedule, however, Newport will
not begin the work until six months from now. State funding will not be
received until the beginning of the next school year, so a six-month variable
interest rate loan will finance the renovation.”
Weber comments: “We can also consider options on swaps,
which the Black model views as having a bond component and a swap component.
The swaption, used to hedge against rising interest rates, can be evaluated as
the swap component minus the bond component.”
Is Weber’s description of the swaption used for the hedge most likely correct?
选项:
A.
No, because it
would be correctly evaluated as the bond component minus the swap component
B.
No, because he
is describing a receiver swaption
C.
Yes
解释:
A payer swaption would hedge against rising interest rates. According
to the Black model, the
value of a payer swaption can be described as the swap component minus
the bond component.
B is
incorrect. A receiver swaption hedges against falling interest rates and Weber
is describing a payer swaption.
A is
incorrect. The receiver swaption is evaluated as the bond component minus the
swap component.
怎么理解payer swaption等于swap的部分减去bond的部分