The payoff to a swap where the investor receives fixed and

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The payoff to a swap where the investor receives fixed and pays floating can be replicated by all of the following except

A. A short position in a portfolio of FRAs

B. A long position in a fixed rate bond and a short position in a floating rate bond

C. A short position in an interest rate cap and a long position in a floor

D. A long position in a floating rate note and a short position in a floor

Reference no: EM13569032

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