Question: The following appeared on a quote sheet Receiver Swaption An

The following appeared on a quote sheet: “Receiver Swaption: An option to receive the fixed leg of a swap (i.e., long receiver is long duration). Payer Swaption: An option to pay the fixed leg of a swap (i.e., long payer is short duration)”.
(a) Explain why for the receiver swaption the party is long duration.
(b) Explain why for the payer swaption the party is short duration.

View Solution:


Sale on SolutionInn
Sales0
Views56
Comments
  • CreatedAugust 22, 2015
  • Files Included
Post your question
5000