我其实一直没想通,这里的swaption到底swap的是什么?

NO.PZ202209060200004705 问题如下 Rumson Shrewsbury anSan Silver are fielconsultants with Fair Haven Aisers, LLinvestment consultant firm specializing in fixeincome investing. They plto expantheir practito focus on suclients retirement schemes, insurancompanies, anothers threquire solutions to meet liability streams. They meet to scuss Fair Haven’s approato this new business segment, anShrewsbury makes the following points to Silver.Point 1: Life-insurancompanies anfinebenefit () pension schemes both use liability-iven investing (L), whiis a speciform of asset–liability management (ALM). In both cases, the liabilities are fineanassets are managein a wthconsirs the profile ancharacteristiof the liability. Point 2: Asset-iven liabilities (As), like L, are specicases of ALM. Financing companies accumulate assets a result of their unrlying business. They use As to structure their assets in a wthmatches the maturities of the liabilities. Point 3: L strategy requires estimating the amount antiming of cash outlays in orr to estimate the interest rate sensitivity of the liabilities. Silver tells Shrewsbury, “Managing fixeincome portfolios to meet obligations requires unrstanng of the nature of the liabilities. Clients with liability types suthose listein Exhibit 1 use yielstatistics, suMacaulay, mofieration, money rations, anthe present value of a basis point (PVBP), when implementing immunization strategies.” Exhibit 1 Classification of LiabilitiesShrewsbury respon, “Only Type I clients cmeasure the interest rate sensitivity of liabilities using yielstatistics. Those with Type II, III, anIV liabilities must use a curve ration statistisueffective ration, to estimate interest rate sensitivity.”Silver anShrewsbury begin scussing a client thsponsors a US plan. The client wants to immunize the liabilities suthchanges in interest rates unr various scenarios will not cause a terioration in funstatus. Key ta for the plassets anliabilities are proviin Exhibit 2. Silver’s forecast is thinterest rates will rise in a non-parallel fashion. In fact, he expects a besteepening of the curve inflation accelerates because of rising wages. Exhibit 2 fineBenefit PlCharacteristics*Projectebenefit obligation.Silver anShrewsbury continue their scussion regarng heing the economic anmarket risks for a plan. Shrewsbury explains thany heing progrcfall short of its objective owing to a number of risks. Silver believes they cuse various instruments to hee interest rate risk but thcertain risks cmore fficult to aress. He tells Silver, “One risk you fain heing the liabilities is ththe yielof high-quality bon is usein the scounting process, wheremost investment solutions use a more versifieanlower-quality portfolio of corporate bon. Conversely, you cfathe opposite problem, if you use Treasury futures or interest rate swaps to hee the liabilities.” Silver consirs alternatives to a cash bonportfolio for heing the liabilities because he is concernethtime passes anmarket contions change, the initially establisheheing progrmift from target levels. Some of his clients with plans are unrfunanhave interest rate hee ratios well below 100%. These clients experates to rise, anshoultheir view prove correct, the ration gwill improve funstatus. He believes these clients shoulleast consir a costless rivative position to protefrom rates falling further if their view is incorrewhile also increasing the hee ratio if rates rise. Shrewsbury knows thsome of his clients not favor active portfolio management strategies, particularly given their higher fee structures relative to passive strategies. He evaluates alternate ways to establish passive bonmarket exposure. His preferenis to seleinstrument thhees not only the interest rate component of the liability’s scount rate but also the cret component. The obligation shoulreferena corporate boninx but structurea synthetic securefinancing transaction. Question Whcontingent strategies woulShrewsbury’s clients most likely enter into unr the scenario he outlines? A.Short a receiver sw B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption SolutionC is correct. The plis not fully funanis also not fully hee this, the money rations of the assets anliabilities are not matche If the clients’ view is incorreanrates fall further, the mismatwill result in the liabilities increasing in value while the assets will appreciate a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption woulallow the plto receive a fixe(higher) rate if rates rally, but the cost of the swaption premium. To finanthis receiver swaption, the plcsell a payer swaption to collea premium thfinances the receiver swaption. If rates rise above some level, the plwoulincrease its ration virtue of being put a swap. The plmhave anticipateclosing the ration ghigher interest rate levels, so being put a swis in line with L program.A is incorrebecause a receiver swis not a contingent security.B is incorrebecause it is the reverse of the corresolution—long a receiver swaption, short a payer swaption. He believes these clients shoulleast consir a costless rivative position to protefrom rates falling further if their view is incorrewhile also increasing the hee ratio if rates rise.从题目的情况看是BPA ( BPV (L), 如果以上这句话是答题点，要如何选择sw呢？

NO.PZ202209060200004705 问题如下 Whcontingent strategies woulShrewsbury’s clients most likely enter into unr the scenario he outlines? A.Short a receiver sw B.Long a payer swaption, short a receiver swaption C.Long a receiver swaption, short a payer swaption SolutionC is correct. The plis not fully funanis also not fully hee this, the money rations of the assets anliabilities are not matche If the clients’ view is incorreanrates fall further, the mismatwill result in the liabilities increasing in value while the assets will appreciate a lesser amount. Swaptions are a contingent security on interest rate swaps. A receiver swaption woulallow the plto receive a fixe(higher) rate if rates rally, but the cost of the swaption premium. To finanthis receiver swaption, the plcsell a payer swaption to collea premium thfinances the receiver swaption. If rates rise above some level, the plwoulincrease its ration virtue of being put a swap. The plmhave anticipateclosing the ration ghigher interest rate levels, so being put a swis in line with L program.A is incorrebecause a receiver swis not a contingent security.B is incorrebecause it is the reverse of the corresolution—long a receiver swaption, short a payer swaption. 可以麻烦一下这道题吗，谢谢