A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year)and 0.8651 (two years).The strike rate is 7 percent.What is the value of the swaption per $1 notional principal.
A)0.0000,since it is out-of-the-money
B)1.0000
C)0.0753
D)0.0095
E)none of the above

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The Answer of A payer swaption is expiring.The underlying swap has a two year maturity.Th e present value factors are 0.9259 (one year)and 0.8651 (two years).The strike rate is 7 percent.What is the value of the swaption per $1 notional principal.
A)0.0000,since it is out-of-the-money
B)1.0000
C)0.0753
D)0.0095
E)none of the above

A Payer Swaption Is Expiring