作者lovelymephy (我找不到对的钥匙)
看板CFAiafeFSA
标题[问题] 2009 LV2 模拟考题afternoon session Q.53
时间Fri Jun 3 14:04:27 2011
原题意是说 某人发表了一个statement :
A receiver swaption permits the holder to enter into a pay floating position
and is equivalent to a put option.
个人认为pay floating position 跟 as a put option都对，
但解答说receiver swaption is equivalent to a call option.
但receiver是当swap rate decrease时才valuable, 所以当预期 rate falling
时也会买reciever swaption啊。
题目也没有说是equivalent to take put option against bond price
or interest rate.
有各位高手能协助解释这题吗？还是答案错了？
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2F：→ garyddt:是bond price 06/03 15:29
3F：→ lovelymephy:感谢～我刚才也查了，但题目中似乎没有明确说明@.@ 06/03 15:38
4F：→ stranger19:X轴是bond price, Y轴是payoff 06/03 20:24
5F：→ stranger19:所以是call option 06/03 20:25
6F：推 speed8:call on coupon bond, put on par yield/swap rate 06/03 23:13