The following appeared on a quote sheet: Receiver Swaption: An option to receive the fixed leg of
Question:
(a) Explain why for the receiver swaption the party is long duration.
(b) Explain why for the payer swaption the party is short duration.
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a In a receiver swaption the swaption buyer has the right to enter into an interestrate swap that requires paying a floating rate and receiving a fixed rate As with any fixedincome contract the value ...View the full answer
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