Buying floor means buying put option on interest rates

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Reference no: EM131952943

1. One reason for basis risk in an interest rate swap is that changes in the index on the variable rate portion of the swap may not be perfectly correlated with changes in the index on the balance sheet portion of the liabilities.

True

False

2. The sensitivity of the price of a futures contract depends on the duration of the deliverable asset underlying the contract.

True

False

3. Buying a floor means buying a put option on interest rates.

True

False

Reference no: EM131952943

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