题目内容
Suppose you are an Australian company and have ongoing floating- rate debt. You have profited for some time by paying at a floating rate because rates have been falling steadily for the last few years. Now, however, you are concerned that within three months the Australian central bank may tighten its monetary policy and your debt costs will thus increase. Rather than lock in your borrowing via a swap, you prefer to hedge by buying a swaption expiring in three months, whereby you will have the choice, but not the obligation, to enter a five- year swap locking in your borrowing costs. The current three- month forward, five- year swap rate is 2.65%. The current five- year swap rate is 2.55%. The current three- month risk- free rate is 2.25%.With reference to the Black model to value the swaption, which statement is correct?
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A payer swaption is a ______ option on a bond and a receiver swaption is a ______ option on a bond.
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?
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?
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