开发者:上海品职教育科技有限公司 隐私政策详情

应用版本:4.2.11(IOS)|3.2.5(安卓)APP下载

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?

* 问题详情,请 查看题干

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。

----------------------------------------------
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。


----------------------------------------------
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?

  • 2

    回答
  • 0

    关注
  • 194

    浏览
相关问题

NO.PZ202209060200004705 问题如下 Rumson Shrewsbury anSan Silver are fielconsultants with Fair Haven Aisers, LLinvestment consultant firm specializing in fixeincome investing. They plto expantheir practito focus on suclients retirement schemes, insurancompanies, anothers threquire solutions to meet liability streams. They meet to scuss Fair Haven’s approato this new business segment, anShrewsbury makes the following points to Silver.Point 1: Life-insurancompanies anfinebenefit () pension schemes both use liability-iven investing (L), whiis a speciform of asset–liability management (ALM). In both cases, the liabilities are fineanassets are managein a wthconsirs the profile ancharacteristiof the liability. Point 2: Asset-iven liabilities (As), like L, are specicases of ALM. Financing companies accumulate assets a result of their unrlying business. They use As to structure their assets in a wthmatches the maturities of the liabilities. Point 3: L strategy requires estimating the amount antiming of cash outlays in orr to estimate the interest rate sensitivity of the liabilities. Silver tells Shrewsbury, “Managing fixeincome portfolios to meet obligations requires unrstanng of the nature of the liabilities. Clients with liability types suthose listein Exhibit 1 use yielstatistics, suMacaulay, mofieration, money rations, anthe present value of a basis point (PVBP), when implementing immunization strategies.” Exhibit 1 Classification of LiabilitiesShrewsbury respon, “Only Type I clients cmeasure the interest rate sensitivity of liabilities using yielstatistics. Those with Type II, III, anIV liabilities must use a curve ration statistisueffective ration, to estimate interest rate sensitivity.”Silver anShrewsbury begin scussing a client thsponsors a US plan. The client wants to immunize the liabilities suthchanges in interest rates unr various scenarios will not cause a terioration in funstatus. Key ta for the plassets anliabilities are proviin Exhibit 2. Silver’s forecast is thinterest rates will rise in a non-parallel fashion. In fact, he expects a besteepening of the curve inflation accelerates because of rising wages. Exhibit 2 fineBenefit PlCharacteristics*Projectebenefit obligation.Silver anShrewsbury continue their scussion regarng heing the economic anmarket risks for a plan. Shrewsbury explains thany heing progrcfall short of its objective owing to a number of risks. Silver believes they cuse various instruments to hee interest rate risk but thcertain risks cmore fficult to aress. He tells Silver, “One risk you fain heing the liabilities is ththe yielof high-quality bon is usein the scounting process, wheremost investment solutions use a more versifieanlower-quality portfolio of corporate bon. Conversely, you cfathe opposite problem, if you use Treasury futures or interest rate swaps to hee the liabilities.” Silver consirs alternatives to a cash bonportfolio for heing the liabilities because he is concernethtime passes anmarket contions change, the initially establisheheing progrmift from target levels. Some of his clients with plans are unrfunanhave interest rate hee ratios well below 100%. These clients experates to rise, anshoultheir view prove correct, the ration gwill improve funstatus. He believes these clients shoulleast consir a costless rivative position to protefrom rates falling further if their view is incorrewhile also increasing the hee ratio if rates rise. Shrewsbury knows thsome of his clients not favor active portfolio management strategies, particularly given their higher fee structures relative to passive strategies. He evaluates alternate ways to establish passive bonmarket exposure. His preferenis to seleinstrument thhees not only the interest rate component of the liability’s scount rate but also the cret component. The obligation shoulreferena corporate boninx but structurea synthetic securefinancing transaction. Question Whcontingent strategies woulShrewsbury’s clients most likely enter into unr the scenario he outlines? A.Short a receiver sw B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption SolutionC is correct. The plis not fully funanis also not fully hee this, the money rations of the assets anliabilities are not matche If the clients’ view is incorreanrates fall further, the mismatwill result in the liabilities increasing in value while the assets will appreciate a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption woulallow the plto receive a fixe(higher) rate if rates rally, but the cost of the swaption premium. To finanthis receiver swaption, the plcsell a payer swaption to collea premium thfinances the receiver swaption. If rates rise above some level, the plwoulincrease its ration virtue of being put a swap. The plmhave anticipateclosing the ration ghigher interest rate levels, so being put a swis in line with L program.A is incorrebecause a receiver swis not a contingent security.B is incorrebecause it is the reverse of the corresolution—long a receiver swaption, short a payer swaption. He believes these clients shoulleast consir a costless rivative position to protefrom rates falling further if their view is incorrewhile also increasing the hee ratio if rates rise.从题目的情况看是BPA ( BPV (L), 如果以上这句话是答题点,要如何选择sw呢?

2024-07-09 13:06 1 · 回答

NO.PZ202209060200004705 问题如下 Whcontingent strategies woulShrewsbury’s clients most likely enter into unr the scenario he outlines? A.Short a receiver sw B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption SolutionC is correct. The plis not fully funanis also not fully hee this, the money rations of the assets anliabilities are not matche If the clients’ view is incorreanrates fall further, the mismatwill result in the liabilities increasing in value while the assets will appreciate a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption woulallow the plto receive a fixe(higher) rate if rates rally, but the cost of the swaption premium. To finanthis receiver swaption, the plcsell a payer swaption to collea premium thfinances the receiver swaption. If rates rise above some level, the plwoulincrease its ration virtue of being put a swap. The plmhave anticipateclosing the ration ghigher interest rate levels, so being put a swis in line with L program.A is incorrebecause a receiver swis not a contingent security.B is incorrebecause it is the reverse of the corresolution—long a receiver swaption, short a payer swaption. 可以麻烦一下这道题吗,谢谢

2023-04-24 05:02 5 · 回答