In case of PCP for stocks, the exercise price of the option is set equal to the face value of bonds in order for put price to be equal to the call price. Similarly in case of PCP for int rate swaps, the exercise rate is set equal to the swap fixed rate (SFR) for the int rate cap (i.e. a portfolio of call options on int rates i.e. C+) and the int rate floor (i.e. a portfolio of put options on int rates i.e. P+) to be equal.
PCP ?
Yes this result is coming from pcp
In case of PCP for stocks, the exercise price of the option is set equal to the face value of bonds in order for put price to be equal to the call price. Similarly in case of PCP for int rate swaps, the exercise rate is set equal to the swap fixed rate (SFR) for the int rate cap (i.e. a portfolio of call options on int rates i.e. C+) and the int rate floor (i.e. a portfolio of put options on int rates i.e. P+) to be equal.