NO.PZ2018113001000034
问题如下：
A company plans to take out a $10 million floating-rate loan in one year. The loan will be two years with annual payments at the rate of Libor. The company believes that the interest rates will increase in one year, so it would like to purchase a swaption to convert floating-rate loan to fixed-rate loan. What type of swaption should the company use to achieve the target?
选项：
A.buy a payer swaption
B.buy a receiver swaption
C.sell a payer swaption
解释：
A is correct.
考点：Using Swaption to Convert Loans
解析:
Payer swaption是有一个权利进入付固定，收浮动的swap。
Receiver swaption是有一个权利进入收固定，付浮动的swap。
公司一年后有一个浮动利率贷款且预测LIBOR会上升，为了回避这个风险，应该买一个payer swaption。
当利率真的上升时，公司可以选择执行这个权利，进入付固定，收浮动的swap。Swap中收到的浮动利率与贷款中支付的浮动利率抵消，此时整个头寸就变成付固定利率，从而达到目标。
sell a payer swap是不是等于receive fixed？
