Swaption


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Related to Swaption: Put swaption, Call swaption

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.

swaption

An option taken on an interest-rate swap. A swaption buyer has the right to enter into an interest-rate swap agreement by a specified date.
References in periodicals archive ?
15) Furthermore, survivor swaption dealers will likely need to hedge positions in swaptions on different cohorts, which will be self-hedging to a certain extent and so reduce basis risk.
Represents at-the-money swap prices as of the date the swaption contracts were entered into.
1) Core Earnings is a non-GAAP measure that the company defines as GAAP net income, excluding impairment losses, gains or losses on sales of securities and termination of interest rate swaps, unrealized gains or losses on trading securities, interest rate swaps and swaptions and certain gains or losses on derivative instruments.
House Transportation Chairman Joseph Wagner, D-Chicopee, who supported the refinancing plan and helped get it through the House earlier this month, has said the plan "makes sense" because it would give the Turnpike Authority a way out of the onerous swaption fees without having the state pick up repayment of Turnpike debt out of the state budget.
LeBovidge said yesterday that, for the time being, the Turnpike Authority is "monitoring" the bond market and gave no indication that the authority could get out of the swaption deal soon.
7 million associated with its interest rate swaps and swaptions economically hedging its repurchase agreements and an unrealized gain, net of tax, of $4.
In addition to maintenance of a sound financial profile, long-term stability of the rating also hinges on the city's ability to manage the potential synthetic refunding of its series 2003 bonds and related swaption (exercise date in late 2013) together with the financing of its capital plan.
However, the market calibration of such a model can be complex, particularly given the lack of liquidity in Treasury-based option models (although a proxy may be achieved by taking volatility assumptions from the swaptions markets).
Quadratic Capital employs liquid options and swaptions across asset classes and seeks to deliver an absolute return, fundamental global macro strategy with low volatility and defined risk.
The pension opted for swaptions and equity collars because of the cost and in order to benefit from rising markets, Grootendorst explains.
His emphasis is on a step-by-step introduction of concepts and explicit calculations, particularly for pricing associated derivatives such as caps and swaptions.
hedge funds, which have become skeptical about Japan, are resorting to an over-the-counter option called swaptions that they expect will be extremely profitable for them should Japanese bonds yields rise.