NO.PZ202209060200004605
问题如下：
Which of the following strategies most likely meets Adams’ preferences?选项：
A.Buy a payer swaption. B.Write a receiver swaption. C.Enter into a pay fixed swap.解释：
SolutionA is correct. Adams would most likely buy a payer swaption. Although all three choices would hedge against rising interest rates, the potential losses on a payer swaption if rates fell would be limited to the option premium and would not be potentially large with uncertain timing.
B is incorrect because the potential loss on writing a receiver swaption if rates fell would be contingent on the interest rate and would be uncertain until termination of the contract.
C is incorrect because the amount of the potential loss if interest rates fell is contingent on the interest rate and would be uncertain until termination of the contract with a pay fixed swap.
A is correct. Adams would most likely buy a payer swaption. Although all three choices would hedge against rising interest rates, the potential losses on a payer swaption if rates fell would be limited to the option premium and would not be potentially large with uncertain timing.
为什么这么说呢？
