Exercise 24.3.7 Argue that a forward interest rate swap is equivalent to a portfolio of one long
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Exercise 24.3.7 Argue that a forward interest rate swap is equivalent to a portfolio of one long payer swaption and one short receiver swaption. (The situation is similar to Exercise 12.2.4, which said that a forward contract is equivalent to a portfolio of European options.)
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Financial Engineering And Computation Principles Mathematics Algorithms
ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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