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tslover · 2023年12月07日

PAYER SWAPTION和 PAY FIX SWAP有啥区别?

原题:Adams states to Neeson, “For the Lawson and Wharton plans, we can consider one of three alternative strategies to manage the multiple liabilities associated with these plans. Whenever a plan’s surplus is less than 5%, we favor passive management strategies. We could also use a derivatives strategy, and I prefer derivatives strategies that protect the portfolio against an increase in interest rates but will not produce large losses if rates decrease.”

问题:Which of the following strategies most likely meets Adams’ preferences?

  1. Buy a payer swaption.
  2. Write a receiver swaption.
  3. Enter into a pay fixed swap.

答案:A is correct. Adams would most likely buy a payer swaption. Although all three choices would hedge against rising interest rates, the potential losses on a payer swaption if rates fell would be limited to the option premium and would not be potentially large with uncertain timing.

B is incorrect because the potential loss on writing a receiver swaption if rates fell would be contingent on the interest rate and would be uncertain until termination of the contract.

C is incorrect because the amount of the potential loss if interest rates fell is contingent on the interest rate and would be uncertain until termination of the contract with a pay fixed swap.


2 个答案

pzqa015 · 2023年12月08日

嗨,爱思考的PZer你好:


关键在于后面半句话

but will not produce large losses if rates decrease.

就是利率下降时,不会产生亏损。


pay fixed swap是互换,一旦进入合约,未来利率下降,是有亏损的;

payer swaption是option,如果未来利率下降,可以选择不行权,那损失的就是期权费。

所以,根据后半句话,只能选择swaption.

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pzqa015 · 2023年12月07日

嗨,从没放弃的小努力你好:


payer swaption是一个Option,买入权利的一方,未来有权进入pay fixed 的swap

pay fixed swap是一个swap,现在就要进入合约。

两者是两类衍生品,payer swaption的标的是一个pay fixed swap

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