题目内容
An interest rate cap can best be described as a combination of a series of interest rate:
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A combination of interest rate calls is referred to as a:
Solomon forecasts the three- month Libor will exceed 0.85% in six months and is considering using options to reduce the risk of rising rates. He asks Lee to value an interest rate call with a strike price of 0.85%. The current three- month Libor is 0.60%, and an FRA for a three- month Libor loan beginning in six months is currently 0.75%.The valuation inputs used by Lee to price a call reflecting Solomon’s interest rate views should include an underlying FRA rate of:
The least likely way to terminate a swap is to:
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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