l*****i
发帖数: 3929 | 1 If you sell a receiver's swaption, you will be subject to both directional a
nd volatility risk in the interest rate market. Assuming you can hedge this
trade using options on Eurodollar futures, which hedge would you prefer?
A) buy calls on Eurodollar futures
B) sell calls on Eurodollar futures
C) buy puts on Eurodollar futures
D) sell puts on Eurodollar futures
Thanks! | T*******t
发帖数: 9274 | 2 C)
a
this
【在 l*****i 的大作中提到】
: If you sell a receiver's swaption, you will be subject to both directional a
: nd volatility risk in the interest rate market. Assuming you can hedge this
: trade using options on Eurodollar futures, which hedge would you prefer?
: A) buy calls on Eurodollar futures
: B) sell calls on Eurodollar futures
: C) buy puts on Eurodollar futures
: D) sell puts on Eurodollar futures
: Thanks!
| r**u
发帖数: 69 | 3 i think the answer is a).
here is my reason. when you sell receiver swaption, you give the counterparty the option to receive fixed rate at strike. when swap rate goes down below strike, the counterparty would exercise to receive the strike, paying you float. hence, you loose money when rate goes down.
to hedge this, you need to buy option where you make money when interest rate goes down, which is the call on EDF.
a
this
【在 l*****i 的大作中提到】
: If you sell a receiver's swaption, you will be subject to both directional a
: nd volatility risk in the interest rate market. Assuming you can hedge this
: trade using options on Eurodollar futures, which hedge would you prefer?
: A) buy calls on Eurodollar futures
: B) sell calls on Eurodollar futures
: C) buy puts on Eurodollar futures
: D) sell puts on Eurodollar futures
: Thanks!
| J*****n
发帖数: 4859 | 4
a
【在 T*******t 的大作中提到】
: C)
:
: a
: this
| T*******t
发帖数: 9274 | 5 对对对，是A....eurodollar是 short rate的。
【在 J*****n 的大作中提到】
:
: a
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