Exam 13: Interest Rate Forwards and Options

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A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year)and 0.8651 (two years).The strike rate is 7 percent.What is the value of the swaption per $1 notional principal.

(Multiple Choice)

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Question 41

All of the following are uses of swaptions except

(Multiple Choice)

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Question 42

For firms that may need to enter into a swap in the future,a forward swap serves as well as a swaption.

(True/False)

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Question 43

FRAs,and caps and floors are guaranteed against default.

(True/False)

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Question 44

The payoff to the holder of a long FRA on 90-day LIBOR with a fixed rate of 8.75 percent,a notional principal of $20 million if the underlying is 9 percent at expiration is

(Multiple Choice)

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Question 45

Payer swaptions can be used to hedge put features on bonds.

(True/False)

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Question 46

An interest rate payer swaption is more like an interest rate put than an interest rate call.

(True/False)

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Question 47

The fixed rate on an FRA expiring in 30 days on 180-day LIBOR with the 30-day rate being 5 percent and the 210 day rate being 6 percent is

(Multiple Choice)

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Question 48

Which of the following best describes an interest rate cap?

(Multiple Choice)

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Question 49

Showing 41 - 49 of 49

A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year)and 0.8651 (two years).The strike rate is 7 percent.What is the value of the swaption per $1 notional principal.

All of the following are uses of swaptions except

For firms that may need to enter into a swap in the future,a forward swap serves as well as a swaption.

FRAs,and caps and floors are guaranteed against default.

The payoff to the holder of a long FRA on 90-day LIBOR with a fixed rate of 8.75 percent,a notional principal of $20 million if the underlying is 9 percent at expiration is

Payer swaptions can be used to hedge put features on bonds.

An interest rate payer swaption is more like an interest rate put than an interest rate call.

The fixed rate on an FRA expiring in 30 days on 180-day LIBOR with the 30-day rate being 5 percent and the 210 day rate being 6 percent is

Which of the following best describes an interest rate cap?

Introduction

Structure of Options Markets

Principles of Option Pricing

Option Pricing Models: the Binomial Model

Option Pricing Models: the Black-Scholes-Merton Model

Basic Option Strategies

Advanced Option Strategies

The Structure of Forward and Futures Markets

Principles of Pricing Forwards, Futures, and Options on Futures

Futures Arbitrage Strategies

Forward and Futures Hedging, Spread, and Target Strategies

Swaps

Advanced Derivatives and Strategies

Financial Risk Management Techniques and Applications

Managing Risk in an Organization

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