问题
单项选择题
Which combination of interest rate options most likely has the same pattern of payoffs as the short position in a forward rate agreement Interest rate call option Interest rate put option（）①A. Long Long ②B. Long Short ③C. Short Long
A. ①
B. ②
C. ③
答案
参考答案：C
解析：
A short position in an FRA will have a positive payoff when the reference rate is less than the contract rate, and a negative payoff when the reference rate is greater than the contract rate, at expiration. A short interest rate call will have a negative payoff when the reference rate is greater than the strike rate, and a long put will have a positive payoff when the reference rate is less than the strike rate.