Payer SWAPTION

Payer swaption gives you the right to pay the fixed rate. It means when the fix rate is going up, you still pay the original fix rate that you locked in the swaption. So.. it is type of put option which means you can pay at the fixed rate by gaining profit.

Interest Rate (LIBOR) goes up ---> (Fixed rate) Payer Swaption gains in value, because paying fixed rate and receiving floating rate.

                              ---> Bond price goes down

Interest Rate (LIBOR) goes down ---> (Fixed rate)Payer Swaption value = 0, because he will only lose the price paid on the option premium.

                                ---> Bond price goes up

Therefore, it's same as call option on interest rate (= put option on bond price).

[此贴子已经被作者于2009-6-3 23:02:06编辑过]

如果一个人 long payer swaption，就意味着他有权利作为swap双方中支付fixed rate的那一方。

如果利率上涨的话，long payer swaption的人就可以通过行使这个权利而获利了，gain = (floating rate - fixed rate) - cost

如果利率下降的话，long payer swaption的人可以选择放弃这个权利, loss = cost

Long payer swaption相当于long put on libor + short fixed income security (fixed interest rate = put strike). 如果利率上涨了，不行使权利，gain = (floating - fixed rate) - cost； 如果利率下降了，行使put option， loss = cost

不知道是否可以这样解释楼主看到的答案。

我没见原题，不知道选项是怎么样的。不过我会选“相当于long put on bond”。