题目内容
An investor writes a put option on FTSE 100 Index futures. Which of the following best describes the investor’s position with respect to the put contract and her exposure to the underlying index future, respectively?
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In what way is the payoff of a forward rate agreement (FRA) most likely different from the payoff of an interest rate option?
An interest rate cap can best be described as a combination of a series of interest rate:
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:
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