袁同學(xué)
2021-05-07 10:32原版書reading 19的例7的第2問，麻煩講解下？
所屬：CFA Level III > Fixed-Income Portfolio Management 視頻位置 相關(guān)試題
來源： 視頻位置 相關(guān)試題
1個回答
Nicholas助教
2021-05-08 14:22
該回答已被題主采納
同學(xué)，下午好。
這里有勘誤，勘誤如下，
“The plan manager’s likely view is that the 30-year swap rate will be less than 3.80%. Then the gains on the receive-fixed interest rate swap exceed those on the swaption collar (i.e., not profitable until the swap rate falls below 3.60%) and on the purchased receiver swaption (i.e., not profitable until the swap rate falls sufficiently below 3.60% to recover the premium paid) as illustrated in Exhibit 16. Note that if the 30-year swap rate exceeds 3.80%, then the receive-fixed interest rate swap will begin losing immediately. Losses on the swaption collar will not begin until the rate rises above 4.25%, while losses on the purchased receiver swaption (at any swap rate above 3.60%) are limited to the premium paid. Notice that this rate view is also consistent with the concern about lower corporate bond yields and the relatively high hedging ratio.
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追答
這里擔(dān)心利率下降導(dǎo)致負(fù)債端的價值升高，而讓股票的收益抵消使得凈負(fù)債仍然很大，因此需要考慮利率下降的問題。相較而言，利率上升的影響較小。
那么在這里，在觀點是利率下降小于3.8%的前提下，purchased receiver小于3.6%才能行權(quán)，并且需要支付期權(quán)費；Swaption collar小于3.6%才能行權(quán)。那么有兩個問題，第一個是3.6%到3.8%這段利率下降期沒有保護，第二個是如果在利率下降小于3.8%的前提下3.80% receive-fixed swap是不用支付費用而獲益最大的。
因此，這里需要把握兩個前提，一個是利率下降，一個是利率下降小于3.8%來考慮這三個策略的優(yōu)劣。
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