- CFA Exams
- CFA Level I Exam
- Topic 7. Derivatives
- Learning Module 32. Valuation of Contingent Claims
- Subject 5. Black Option Valuation Model
CFA Practice Question
The two adjustments applied to the Black model in order to value a swaption are for ______.
II. notional amount
III. the present value of an annuity
I. accrual period
II. notional amount
III. the present value of an annuity
Correct Answer: I and III
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