- 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
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
Correct Answer: C
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