An investor wants to protect against a rise in the market yield on a Treasury bond. Should the investor purchase a put option or a call option to obtain protection?
Answer to relevant QuestionsWhat is the intrinsic value and time value of a call option on bond W given the following information? strike price of call option = 97 current price of bond W = 102 call option price = 9 What is the motivation for the purchase of an over-the-counter option? Suppose that a savings and loan association buys an interest-rate cap that has these terms: The reference rate is the 6-month Treasury bill rate; the cap will last for five years; payment is semiannual; the strike rate is ...How can interest rate swap be used to reduce the duration of portfolio to match the duration of a benchmark? How does one approximate the CDS spread for a single-name CDS on a corporate entity?
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