Swaption

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Related to Swaptions: Interest rate swap, swaps

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 ?
Purchasing a series of payer swaptions struck at the levels of the floor when the floor is much higher than the projected interest-crediting rate, while hedging liabilities similar to a traditional defined-benefit plan (positive duration).
So where's the talk of repo, swaptions, and derivatives?
Proceeds of the series 2013A refunding bonds will be used to current refund the series 2003D bonds and terminate the related swaption.
After listing payments in the millions that the MBTA makes to different banks for interest rate swaption agreements that went bad, the group shouted, "Cut off the banks.
The implied volatilities on swaptions also tend to be driven by different factors depending on the expiry date of the option.
2009) to the pricing of survivor options such as survivor swaptions.
Chief executive Blaise Labriola says Theoretics' Telemark Risk Management System tracks fixed-income products ranging from bonds and mortgages to swaps and swaptions, caps/floors and currencies.
During the second quarter, we became the first exchange to offer swaptions clearing.
Cannon will develop a suite of fixed income pricing models that includes interest rate swaps and swaptions as well as exotic payout structures such as barrier and outperformance options.
Legal & General Investment Management snagged that award for the firm's rapid growth in, and commitment to, the American LDI market following the establishment of a leading UK-based business, and for its thought leadership in the use of swaptions within LDI portfolios.
The financial crisis of the turnpike authority was a function of the swaptions that happened two to three years after I left state government," he said, while the peak construction and multibillion cost overruns from the project "occurred about 18 months to two years after I left state government.
Survivor swaptions can be used for various risk management purposes, and an obvious use is to provide the option to lock-in future swap rates.