题目内容

A payer swaption is a option on a bond and a receiver swaption is a option on a bond.

A. call, put
B. put, call
C. put, put
D. call, call

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Consider a European receiver swaption that expires in two years and is on a one-year swap that will make quarterly payments. The swaption has an exercise rate of 6.5%. The notional principal is ＄100 million. At expiration, the term structure of interest rates is as follows:L0(90) = 0.0373; L0(180) = 0.0429; L0(270) = 0.0477; L0(360) = 0.0538.What is the market value of the swaption at expiration?

A. -＄1,184,681
B. 0
C. ＄1,184,681

Consider a European payer swaption that expires in two years and is on a one-year swap that will make quarterly payments. The swaption has an exercise rate of 6.5%. The notional principal is ＄100 million. At expiration, the term structure of interest rates is as follows:L0(90) = 0.0373; L0(180) = 0.0429; L0(270) = 0.0477; L0(360) = 0.0538.What is the market value of the swaption at expiration?

A. $0.
B. $1.2 million.
C. $1.5 million.

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A. 主权
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D. 外交

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A. 缅甸
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C. 印度
D. 新加坡