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.”
Q. Which of the following strategies most likely meets Adams’ preferences?
- Buy a payer swaption.
- Write a receiver swaption.
- Enter into a pay fixed swap.
Solution
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.
何老师的角度是： int 升， asset value 降，需要降低duration，来hedge。payer swaption可以做到降Dur同时没有下行风险。这个我懂了。我的问题如下：
我想hedge int 升，我receive fix rate，pay float 不就行了嘛。 所以long receiver swaption。
为何两个思路，得到的结果截然相反。
谢谢解答
