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?
- Buy a payer swaption.
- Write a receiver swaption.
- 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.