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Swaption |
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Swaption Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement by some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer. The writer of the swaption becomes the counterparty to the swap if the buyer exercises. Swaption An option in which the buyer of the option has the right to enter into to an interest rate swap. The terms of the swaption specify whether the buyer will be the payer of the floating rate or the payer of the fixed rate. It is called a swaption because it is an option on a swap. A swaption is useful if an interest rate swap may be useful for the buyer's investment strategy, but there is still some uncertainty as to whether that will be the case. See also: Call swaption, Put swaption, Plain vanilla swap.
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Swaption or Swap Option--An agreement under which one party has an option to either enter into or cancel an interest rate swap with the other under specified terms. Appropriate for graduate students in finance and researchers, the book introduces a stable calibration procedure by incorporating a criterion related to the swaption market, examines Libor exotics pricing based on real life calibrated models, and considers the impact of different calibrations on a variety of popular exotic derivative structures. This decrease was primarily driven by changes in overall interest rate spreads and an increase in swaption volatilities. |
Swaption |
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