Question: Explain the asymmetric effect on the variation margin and cash
Explain the asymmetric effect on the variation margin and cash flow for the short and long in an interest-rate futures contract when interest rates change.
Answer to relevant QuestionsAn investor owns a call option on bond × with a strike price of 100. The coupon rate on bond × is 9% and has 10 years to maturity. The call option expires today at a time when bond × is selling to yield 8%. Should the ...What are the delta and gamma of an option? 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? Consider the following interest-rate swap: • The swap starts today, January 1 of year 1 (swap settlement date) • The floating-rate payments are made quarterly based on actual / 360 • The reference rate is 3-month ...Give two interpretations of an interest-rate swap.
Post your question