Which of the Following Is Not Required to Determine a Swaption

question 29

Multiple Choice

Which of the following is not required to determine a swaption payoff at expiration?

• A)the exercise rate
• B)the term structure of zero coupon rates at the swaption expiration
• C)the maturity of the underlying swap
• D)the yield on a bond of equivalent maturity as the swap
• E)none of the above

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