Which of the Following Isnot True of a Swaption,i

question 20

Multiple Choice

Which of the following isnot true of a swaption,i.e. ,an option on a swap?

• A)A swaption is always less valuable than the underlying swap.
• B)A swaption's value is always non-negative.
• C)A payer swaption is worth less than a cap with caplets on the same dates as the swap underlying the swaption.
• D)A swaption's value increases with interest rate volatility irrespective of which side of the underlying swap one may be on.

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