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mousesky · 2024年05月10日

我其实一直没想通,这里的swaption到底swap的是什么?

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NO.PZ202209060200004705

问题如下:

What contingent strategies would Shrewsbury’s DB clients most likely enter into under the scenario he outlines?

选项:

A.Short a receiver swap B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption

解释:

Solution

C is correct. The plan is not fully funded and is also not fully hedged; that is, the money durations of the assets and liabilities are not matched. If the clients’ view is incorrect and rates fall further, the mismatch will result in the liabilities increasing in value while the assets will appreciate by a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption would allow the plan to receive a fixed (higher) rate if rates rally, but at the cost of the swaption premium. To finance this receiver swaption, the DB plan can sell a payer swaption to collect a premium that finances the receiver swaption. If rates rise above some level, the plan would increase its duration by virtue of being put a swap. The plan may have anticipated closing the duration gap at higher interest rate levels, so being put a swap is in line with an LDI program.

A is incorrect because a receiver swap is not a contingent security.

B is incorrect because it is the reverse of the correct solution—long a receiver swaption, short a payer swaption.

不管是receiver swaption还是payer swaption,是在swap interests吗?还是interest rate变化对asset和liabilities的相应变化值?


不然光是记结论,记interest rate的变化方向对应是long receiver swaption还是long payer swaption,总觉得会搞错,而且和fixed receiver和fixed payer搞混

2 个答案
已采纳答案

pzqa31 · 2024年05月11日

嗨,爱思考的PZer你好:


是的,swaption只是在swap的基础上加了一个期权。

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虽然现在很辛苦,但努力过的感觉真的很好,加油!

pzqa31 · 2024年05月11日

嗨,爱思考的PZer你好:


同学,没看懂你的问题。。。


payer或者receiver都是针对固定来说的,receiver swaption 是收固定,payer swaption 就是付固定。这个不需要死记硬背其实,记住基本性质,多做题练习就行。


以这道题为例:

现在value of asset<value of liability,且BPV of asset<BPV of liability

如果利率上涨,这个头寸是有好处的,因为资产端value下降的少,负债端value下降的多,这样资产与负债的差值变小,underfunded的状态得到改善。

如果利率下跌,这个头寸是有亏损的,因为资产端Value上涨的少,负债端value上涨的多,资产与负债的差值进一步扩大,underfunded的状态恶化了。

题目说,要加入一个衍生品头寸,让预测错误(利率下跌)时获得保护,根据这句话判断,应该增加资产端的duration,要long receiver swaption或者short payer swaption(这两个头寸的duration为正)。

同时,在利率上涨时,提高hedge ratio。首先判断,现在BPVA<BPVL,如果要增加hedge ratio,则左边在利率上涨时应该变大,进一步验证了应该增加资产端的duration,所以,要long receiver swaption或者short payer swaption。


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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!

mousesky · 2024年05月11日

我的问题说白了就是,swaption和swap的差别,是不是就是swaption多了个进入swap的option,别的都一样?都是针对interest的?连position也是一致的?

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