"Derivative"exercise:put–call parity

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來源: 正保會計(jì)網(wǎng)校編輯：小鞠橘桔 2021/02/25 10:00:04　字體：大小

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Questions 1:

The price of an interest rate swap that involves the exchange of a fixed payment for a floating payment is most likely:

A 、equal to its value at expiration.

B 、set at initiation and constant over time.

C、 affected by changes in the floating payment.

Questions 2:

Using put–call parity, a long call can best be replicated by going:

A、 long the put, short the asset, and long the bond.

B、 short the put, long the asset, and short the bond.

C、 long the put, long the asset, and short the bond.

View answer resolution

【Answer to question 1】B

【analysis】

B is correct. Swaps have both a price and a value. Price in the context of a swap is a reference to the fixed-rate payment on the swap, which is constant over time. The value of a swap is zero at initiation but can change over the life of the swap as market interest rates change.

A is incorrect. Price and value are not normally equal at expiration.

C is incorrect. The price in the context of a swap is a reference to the fixed-rate payment on the swap, which is constant over time and does not change in reaction to interest rate changes.

【Answer to question 2】C

【analysis】

C is correct. According to put–call parity, a long call is equal to long put, long asset, short bond.

A is incorrect. The short asset position must be a long position, and the long bond position must be a short position. According to put–call parity, a long call is equal to long put, long asset, short bond.

B is incorrect. The short put position must be a long position. According to put–call parity, a long call is equal to long put, long asset, short bond.

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