A swaption is an option on a swap. A cap is a portfolio of options on FRAs.

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A swaption is an option on a swap. A cap is a portfolio of options on FRAs. Given that swaps are portfolios of FRAs, what has greater value,

(a) A swaption

(b) A cap?

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Derivatives Principles And Practice

ISBN: 9780078034732

2nd Edition

Authors: Rangarajan Sundaram

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Question Posted: Jan 11, 2024 09:03 AM

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A swaption is an option on a swap. A cap is a portfolio of options on FRAs.

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A swap is a portfolio of FRAs so that a swaption ie an option ...View the full answer

Derivatives Principles And Practice

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