Duration 和 R 之间的关系

问题如下：

Adams and junior portfolio manager Frank Neeson review the fixed-income portfolios of two new defined benefit plan clients, Lawson Doors & Cabinets, Inc., and Wharton Farms. Adams states to Neeson, “For the Lawson and Wharton plans, we can consider some strategies to manage the multiple liabilities associated with these plans. We could also use a derivatives strategy, and I prefer derivatives strategies that protect the portfolio against an increase in interest rates but will not produce large losses if rates decrease.”

Which of the following strategies most likely meets Adams’ preferences? (2019 mock AM)

选项：

A.Buy a payer swaption. B.Write a receiver swaption. C.Enter into a pay fixed swap.

解释：

Correct Answer: A

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.

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.’