NO.PZ2016082402000069
问题如下：
As your company’s risk manager, you are looking for protection against adverse interest rate changes in five years. Using Black5s model for options on futures to price a European swap option (swaption) that gives the option holder the right to cancel a seven-year swap after five years, which of the following would you use in the model?
选项： The
two-year forward par swap rate starting in five years5 time
The five-year forward par swap rate starting in two years5 time
C.The two-year par swap rate
D.The five-year par swap rate
解释：
The forward rate should start at the beginning of the option in five years, with a maturity equal to the duration of the option, or two years.
swaption是在option后进入swap，这道题我的理解是：
期初拥有7年的swap，并同时签了一份5年后可以取消这份合约的option，那在5年后如果决定行权就需要用一个2年期的forward反向对冲卖掉剩余的swap；如果不行权就一直持续到第7年年末，是这样吗？
还有，做反向对冲的条件就是需要期限相等并且forward rate=swap rate吗？
