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manman · 2023年07月29日

怎么理解payer swaption等于swap的部分减去bond的部分

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

1 个答案

Lucky_品职助教 · 2023年07月31日

嗨,努力学习的PZer你好:


做题就是查漏补缺的过程,同学可以再听一下这部分视频讲解~

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就算太阳没有迎着我们而来,我们正在朝着它而去,加油!

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NO.PZ2023020101000026 问题如下 IST Risk Solutions provis institutionfinancirisk managementaisory anbrokerage services. Clients seek IST’s services when evaluatingwhether to hee interest rate, currency, or equity market risks. Simon Weber,senior aiser IST, is scussing a new client with analyst Noel Franco. Weber states: “Newport State College plans a $10 millionlaboratory renovation for its sciencenter anhengageIST to implementoptions strategies in orr to manage the risk of rising interest rates. Therenovation is to completein 12 months, in time for the start of the schoolyear. To minimize sruption to its acamic schele, however, Newport willnot begin the work until six months from now. State funng will not bereceiveuntil the beginning of the next school year, so a six-month variableinterest rate lowill finanthe renovation.”Weber comments: “We calso consir options on swaps,whithe Blamol views having a boncomponent ana swcomponent.The swaption, useto hee against rising interest rates, cevaluateasthe swcomponent minus the boncomponent.”Is Weber’s scription of the swaption usefor the hee most likely correct? A.No, because itwoulcorrectly evaluatethe boncomponent minus the swcomponent B.No, because heis scribing a receiver swaption C.Yes A payer swaption woulhee against rising interest rates. Accorngto the Blamol, thevalue of a payer swaption cscribethe swcomponent minusthe boncomponent.B isincorrect. A receiver swaption hees against falling interest rates anWeberis scribing a payer swaption.A isincorrect. The receiver swaption is evaluatethe boncomponent minus theswcomponent. Accorng to the Blamol, the value of a payer swaption cscribethe swcomponent minus the boncomponent.我看了之前同学的提问,按照老师的提示,我又重新看了一遍基础班视频,但是李老师没有讲boncomponent这一块啊,只有一个callable bon貌似和这道题的知识点也不是重合的。请老师解读。我对这道题的理解是,这个大学要在6个月后开展一个实验室的翻新工程,然后这个翻新工程将在12个月后完成。但是国家给的钱要12个月以后才付款,所以这个大学在六个月后需要借钱进行实验室翻新。因为担心利率上涨,所以这个大学要做一个swaption,也就是在未来六个月到12个月以内,付固定,所以是payer swaption(call on interest)。题干给的swap和bon是怎么也不能带入到这个题目里,好奇怪的知识点。请老师解读。

2023-10-05 22:41 3 · 回答