As your companys risk manager you are looking for

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As your company's risk manager, you are looking for protection against adverse interest rate changes in five years. Using Black's model for options on futures to price a European swap option (swaption) which gives the option holder the right to cancel a seven-year swap after five years, which of the following would you use in the model?

A. The two-year forward par swap rate starting in five years time

B. The five-year forward par swap rate starting in two years time

C. The two-year par swap rate

D. The five-year par swap rate

Reference no: EM13569062

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