- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 3. Interest Rate Options
CFA Practice Question
A call option on interest rates will be in the money when the ______
B. exercise rate is higher than the futures rate.
C. futures rate is higher than the current spot rate.
A. current spot rate is higher than the exercise rate.
B. exercise rate is higher than the futures rate.
C. futures rate is higher than the current spot rate.
Correct Answer: A
The underlying instrument for interest rate options is the spot rate.
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