A Payer Swaption Is Expiring

question 2

Multiple Choice

A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year) and 0.8651 (two years) .The strike rate is 7 percent.What is the value of the swaption per $1 notional amount.

• A)0.0000,since it is out-of-the-money
• B)1.0000
• C)0.0753
• D)0.0095
• E)none of the above

---

Definitions:

Fear-based

Describing actions or decisions motivated by fear, often leading to precautionary or defensive behavior to avoid negative outcomes.

Moderate Levels

Degrees or extents of something that are considered to be within a middle or average range, avoiding extremes.

High Levels

Refers to an elevated state or degree of any measurable variable, quality, or condition.

Expertise

Specialized knowledge or skill obtained from extensive experience or training in a particular field.