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Basic Question 0 of 5
To long a payer swaption and short a receiver swaption with the same exercise rate is equivalent to entering a ______ forward swap.
B. receive-floating, pay-another-floating
C. receive-floating, pay-fixed
A. receive-fixed, pay floating
B. receive-floating, pay-another-floating
C. receive-floating, pay-fixed
User Contributed Comments 0
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I am happy to say that I passed! Your study notes certainly helped prepare me for what was the most difficult exam I had ever taken.
Andrea Schildbach
Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.