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Basic Question 10 of 12
To long a payer swaption and short a receiver swaption with the same exercise rate is equivalent to entering a ______ forward swap.
B. receive-floating, pay-another-floating
C. receive-floating, pay-fixed
A. receive-fixed, pay floating
B. receive-floating, pay-another-floating
C. receive-floating, pay-fixed
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Learning Outcome Statements
describe how the Black model is used to value European options on futures;
describe how the Black model is used to value European interest rate options and European swaptions;
CFA® 2025 Level II Curriculum, Volume 5, Module 32.