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| | Swaption - Wikipedia, the free encyclopedia |
 | | The swaption was for a period of one year. | | | There is a liquid swaption market on the LIBOR rates of all the world's major currencies. | | | European swaptions, the simplest type (see below for definition) are now quotidian (or in market jargon "vanilla") instruments in today's financial markets. |
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http://en.wikipedia.org/wiki/Swaption
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| | St.George Bank - Interest Rate Swap Option (Swaption) |
| | Swaptions are intended for borrowers who want the option to take forward cover on interest rates or the option to obtain forward cover on the rollover of an existing loan facility. | | | Swaptions are helpful in managing possible interest rate risk occurring at some time in the future. | | | Swaptions are totally separate to your loan facility. |
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http://stgeorge.com.au/corporate/transaction/int_rate_rm/option.asp?...
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| | Swaptions |
| | A buyer of a swaption who has the right to pay fixed and receive floating is said to have purchased a ‘payers swaption’. | | | Swaptions can be used as hedging vehicles for fixed debt, floating debt or swaps. | | | A swaption is an option on a forward start swap which provides the purchaser the right to either pay or receive a fixed rate. |
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http://www.fincad.com/support/developerFunc/mathref/Swaptions.htm
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| | Cranberry Journal - News |
| | A swaption would allow the district to exchange their fixed-rate interest debt with someone else's variable rate debt and lower the overall amount of interest paid on the loan, said McKendrick. | | | Potential risks include termination of the swaption by either party, a mismatch in interest rates, a change in interest rates or closure of the bank handling the transaction, McKendrick said. | | | In order to begin the swaption, Brewer said Seneca Valley must first create a debt management plan and retain an independent financial advisor for analysis and oversight of the contract. |
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http://www.gatewaynewspapers.com/cranberryjournal/news/50580
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| | Options on Interest-Rate Swaps (Swaptions) for borrowers |
| | A Swaption gives the firm a period of time when the firm can take advantage of a fixed borrowing cost. | | | In these circumstances the Swaption protected the firm against a higher borrowing cost and also allowed the firm to take advantage of the fall in rates. | | | The firm make use of its Swaption and ask the bank to provide the firm with an Interest-Rate Swap for this period at the agreed rate of 8%. |
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http://www.fxfxnet.com/members/treasury/strategies/options2.htm
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| | Global Markets Interest Rate Derivatives Interest Rate Swaption |
| | A floating rate lender can use the purchase of a Receiver's Swaption to guarantee itself a fixed rate of return on an identified investment (loan) to be made in the future. | | | Swaptions can also be used by issuers of debt to either reduce funding costs and/or increase flexibility | | | View Client A is concerned that interest rates may increase, making it difficult for the company to finance their loan repayments. |
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http://www.standardchartered.com/global/gmkts/gmkts_ir_swaption.html
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| | [No title] |
| | If a swaption is exercised, it has a market value based on the present value of the payments on the swap that is created by exercise net of the present value of the payments on an otherwise equivalent swap that would be created at the going rate in the market at the time of exercise. | | | Exercise of a swaption creates a stream of payments, as represented by the underlying swap, while exercise of a single option in cap or floor creates only a single payment. | | | Paying the market value of a stream of payments is equivalent to paying the stream of payments. |
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http://business.fullerton.edu/finance/tylai/FIN444/SP04/im13.doc
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| | [No title] |
| | For example, a ratio of 3 would mean the payoff to the swaption, if the spot ended up at the current level, would be three times higher than the initial cost. | | | The bottom left ColorGrid gives the ratio of implied swaption volatility across the curve to the volatility of a reference swap tenor (default 10yr). | | | The bottom right ColorGrid gives the ratio of the payoff to receiver swaptions to their initial cost if the underlying spot swap rate stays unchanged. |
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http://www.csfb.com/locus/help/helppages/der_carry_analy.htm
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| | Bank of New York - Global Markets - Product Notes - Interest Rate Receiver's Swaption Agreement |
| | The seller of the receiver's swaption will pay a higher fixed rate on the swap than he would have paid if the terms had been set at market rates on the start date of the swap, but the swaption premium will reduce his effective fixed rate payments. | | | The purchaser and seller of the swaption agree on the expiration date, option type (e.g., receiver's swaption), exercise style (e.g., European), the terms of the underlying swap and the type of settlement (e.g., cash). | | | The terms of the swaption mirror the terms of the call on the debt. |
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http://gm.bankofny.com/Markets_IRD_PN9.asp
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| | Watch Swaptions, Not the Yield Curve |
| | A put swaption buyer has the right to receive the floating rate and pay the fixed rate; this is a bearish position in bonds, because the holder profits if interest rates rise in the future. | | | A call swaption gives the buyer the right to receive the swap's fixed rate of interest and pay the floating rate of interest. | | | This is a bullish position in bonds, because the holder will profit if interest rates fall in the future. |
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http://www.thestreet.com/_tscs/options/futuresshocktsc/10255951_2.html
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| | swaption and Stock Trading at TradeStars + Stock Trading |
| | Day-Trading Risk Disclosure Statement swaption (a) Except as provided in paragraph (b), no member will generate substantial commissions, even if the per trade cost is low. | | | A decline in the value of the securities that are purchased may require swaption to provide Notice Regarding Changes to swaption Margin Requirements Effective August 27, 2001, revised regulation of the New York Stock Exchange (NYSE) and the National Association of Securities Dealers (NASD) will require the Company. | | | to impose new, more stringent margin requirements and swaption the requirement is applied to the aggregate of all day trade for that day, not the highest open day trade calculation This adjustment could trade is the purchase and sale (or short sale and purchase) of the same security on the same day in a single |
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http://www.tradestars.com/content/swaption.asp
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| | Welcome to William Blair & Company - Debt Capital Markets |
| | A swaption enables issuers to monetize the value of a call option on bonds that are not advance refundable. | | | By executing a Swaption, the District received an up-front payment of over $1.5 million and avoided the risk that market interest rates would increase prior to the call date of the Series 1994 Bonds. | | | The District’s Series 1994 Bonds could not be refinanced via a traditional bond refunding until their call date of February 1, 2007. |
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http://www.wmblair.com/Pages/news_story_dept.asp?uid=736&depID=8
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| | RECEIVER SWAPTION |
| | The initial cost of the Swaption is the premium, and this is the most the buyer can lose. | | | Once purchased the Receiver swaption will have a minimum value of zero. | | | Should 5 year rates be higher than the strike at maturity, the investor will choose not to receive Fixed under the Swaption as they can do so in the market at a more attractive rate. |
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http://ciberconta.unizar.es/bolsa/rs.htm
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| | swaption - OneLook Dictionary Search |
| | Phrases that include swaption: bermuda swaption, bermudan swaption, cross-currency swaption, cross currency swaption, payers swaption, more... | | | Swaption : AMEX Dictionary of Financial Risk Management [home, info] | | | swaption : Tradition/Axone Financial Terminology Database [home, info] |
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http://www.onelook.com/?w=swaption
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| | KNOCK-IN SWAPTION |
| | The first thought is a 6 month payer swaption on a 4 year swap which would cost 282 bp. | | | Both Receiver and Payer Swaptions can be Knocked-In with reference to a wide range of underlyings, including LIBOR, FX, commodity and equity levels. | | | This protection could be achieved with a pay fixed swap which would offset their interest rate debt. |
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http://ciberconta.unizar.es/bolsa/kis.htm
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| | BankWest - Interest Rate Products |
| | An Interest Rate Swaption is simply an option to effect an interest rate swap on a set date at a pre-agreed rate, principal amount and term. | | | If the Swaption floor rate is higher than the market swap rate then BankWest would exercise the Swaption and the borrower would enter into a swap at the Swaption floor rate. | | | Under this collar the borrower sets the Swaption cap rate and BankWest calculates the Swaption floor rate so that no premium is payable. |
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http://www.bankwest.com.au/business/Business_Services/Financial_Markets/Interest_Rate_Products
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| | Swaption |
| | The buyer purchases the right to either pay fixed interest rates (payer swaption) or receive fixed interest rates (receiver swaption). | | | The buyer pays the seller a premium for this right when the transaction is concluded. | | | Conditions for the variable and fixed interest rate (strike price). |
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http://help.sap.com/saphelp_45b/helpdata/en/4f/f11209628011d28739080009b423f4/content.htm
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| | swaption |
| | The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer. | | | The buyer of a swaption has the right to enter into an interest rate swap agreement by some specified date in the future. | | | An option on a swap, usually an interest rate swap. |
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http://www.investhub.com/glossary/swaption.htm
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| | GOVPX SWAPTION PREMIUMS (800)338-9265 |
| | Provides at-the-money swaption straddle premiums quoted in basis points as percentage of the principal (based on $100M), with option terms ranging from 1 month to 10 years and swap terms ranging from 1 month to 30 years. | | | The swaption buyer pays the swaption seller a fee (Swaption Premium) for the right to enter into a certain interest rate swap at a certain time in the future, with a specified fixed rate (Swaption Strike). | | | A Swaption is an option on an interest rate swap. |
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http://www.govpx.com/mkting/swap/o_pg298.htm
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| | Wilmott Forums - Swaption Vol. Surface Query |
| | Quiet commonly when pricing Bermudans, one looks at the volatilities at various points in the future to see if one is pricing "forward vol" too cheaply or expensively. | | | So it cant indicate smile/skew (non-lognormaility of underlying creating imp. | | | The shape of the forward vol surfaces do affect the price to an extent, but it would be impossibly difficult to imply the shape of the surface from Bermudan prices. |
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http://www.wilmott.com/messageview.cfm?catid=4&threadid=8720
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| | Swaptions |
| | For all exercise types (American, Bermudan, and European), consistent with RBC Rule section 3.8.3.7, assume exercise by the party holding the swap option if the equivalent maturity Enterprise Cost of Funds is more than | | | 50 basis points below the normalized fixed pay coupon for a receive-fixed swaption (a put or ‘receiver’ swaption). | | | 50 basis points above the normalized fixed-pay coupon, for a pay-fixed swaption (a call or ‘payor’ swaption), or |
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http://www.ofheo.gov/media/archive/docs/rbc/swaptions.html
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| | CISDM - Resources - Bibliography |
| | We examine the potential benefits of looking outside the LIBOR market for factors that might impact swaption prices without impacting swap rates, and find them to be minor, indicating that the swaption market is well integrated with the LIBOR-swap market. | | | Journal of Finance, Volume 58, Number 5, pp. | | | Fan R.; Gupta A.; Ritchken P. This paper examines whether higher order multifactor models, with state variables linked solely to underlying LIBOR-swap rates, are by themselves capable of explaining and hedging interest rate derivatives, or whether models explicitly exhibiting features such as unspanned stochastic volatility are necessary. |
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http://cisdm.som.umass.edu/resources/bibliographylist.asp?title=942
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| | Wilmott Forums - Computing Swaption Historical Volatility |
| | i would say the log returns should be used.i have been using historical swaption vols and these depend a great deal on which market (how liquid) is being considered.one should calculate forward swap rates(yields) and take standard deviations over a sufficiently long period (30 to 100 days atleast). | | | Swaption vols are allways humped, since we expect the most vol in short term with mean reversion later on. | | | The rates i use to compute is the exact ATM fwrd rate for eache swaption..... |
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http://www.wilmott.com/messageview.cfm?catid=4&threadid=12952&forumid=1
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| | Pricing a Bermudan Swaption with a Short Rate Lattice Method |
| | This framework is suited to a calibration from an observed initial yield curve and market price data of discount bonds and European swaptions. | | | G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing | | | The Bermudan swaption is an option, which at each date in a schedule of exercise dates gives the holder the right to enter an interest swap, provided that this right has not been exercised at any previous time in the schedule. |
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http://ideas.repec.org/p/osk/wpaper/0503.html
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| | Macroeconomic announcements and implied volatilities in swaption markets |
| | Swaption prices adjust to reflect the spikes: the volatilities implied by these prices tend to fall once the volatility spike induced by an announcement has passed. | | | Some of the sharpest movements in the major swap markets take place during days of US economic data releases. | | | These yield movements induce spikes in volatilities during those days. |
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http://www.bis.org/publ/qtrpdf/r_qt0409h.htm
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| | PANALYTIX: Comapany and APeX FAQ |
| | The rate-fixing tool in the APeX Book Manager lets you fix rates for each deal. | | | The liquidity and flow information, cross-market arbitrage (buying cash volatility cheap and asset swapping it into the swaption market) plus good risk-management and models are what make money. | | | Is APeX a pricing or an arbitrage tool? |
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http://www.panalytix.com/faq.html
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| | Forums - Swaption |
| | LIBOR - the other pays in a different one - maybe a fixed rate, maybe a floating). | | | 12:08 PM For what it's worth mgarc is right, swaption is an option where the underlying is a swap contract. | | | here's the exact terminology of the product i am refering to " swaption partial-vega expectation of current-coupon" |
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http://www.elitetrader.com/vb/showthread.php?threadid=46146
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| | business2blog: If Only We Could Buy a Simoleon Swaption |
| | If you have a TypeKey or TypePad account, please Sign In | | | Slashdot has a post about Gaming Open Market, a soon-to-be operational Web site for buying/trading online-gaming currencies. | | | These Searchrolls are Erick Schonfeld's custom search engines that return results from his hand-selected sites. |
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http://business2.blogs.com/business2blog/2003/11/can_you_do_a_si.html
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| | Rabobank - Swaption |
| | When you buy a payers swaption, you have the right to participate at a particular moment in a swap in which you pay a pre-agreed fixed interest rate for a certain term in return for receipt of a Euribor fee. | | | A Swaption differs from an interest option on a number of points. | | | When you buy a swaption, in exchange for paying a premium you have the right to participate in a swap at one specified point in time at a fixed rate of interest. |
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http://corporates-public.rabobank.nl/information/algemeen.asp-node_id=41932.htm
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| | Interest Rate Modeling: A Conscientious Choice |
| | If we employ the ATM swaption market as our volatility guide, we should expect the process of pricing an “ATM” mortgage to be free from interest rate model selection. | | | Since the beginning of 1998, the best CEV value (0.23) was generally between the normal case and the square-root case and nowhere close to the lognormal case. | | | This is true for a mortgage with GWAC located 50-100 bps above the current gross rate - at the elbow of refinancing curve. |
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http://www.fenews.com/fen30/one_time_articles/interest_rate_modeling.html
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| | SSRN-Factor Dependence of Bermudan Swaption Prices: Fact or Fiction? by Leif Andersen, Jesper Andreasen |
| | Investigating both Gaussian Markov models and Libor Market models, we find that Bermudan swaption prices depend only weakly on the number of factors in the underlying interest rate model. | | | This paper investigates the effect of interest rate correlation in the pricing of Bermudan swaptions. | | | Moreover, we find that prices of standard Bermudan swaptions typically decrease slightly in the number of factors, primarily a consequence of effects on the time evolution of volatility induced by calibration of the model dynamics. |
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http://papers.ssrn.com/sol3/papers.cfm?abstract_id=209988
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| | Bermuda Swaption |
| | Like a Bermuda option, a Bermuda swaption can only be exercised at certain times during its life. | | | Options Basics Tutorial - An introduction to the world of options, covering everything from primary concepts to how options work and why you might use them. |
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http://investrio.investopedia.com/terms/b/bermudaswaption.asp
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| | Swaption |
| | In calculating d1 and d2 of swaption pricing, what is the time to maturity? | | | For example, if the swaption is giving right to enter into 3year swap after 1 year, the 'T' of d1 and d2 is 1 year or 4 years? | | | It will be much appreciated if anyone answer this. |
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http://www.contingencyanalysis.com/archive/archive00-3/00000960.htm
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| | SourceForge.net: quantlib-users |
| | Does it mean that, for example for an EURO swaption, the swaption volatility surface I am using should be computed for swaptions semi-annual on both the fixed and the floating leg? | | | Looking at the implementation, it seems to me, that it generates the swap that corresponds to the ATM of the swaption, but I notice that the frequencies for the floating and fixed legs are both set to the frequency of the index, and the day counting convention is the one for the index too. | | | I am trying to calibrate Hull-White for Bermudan swaptions, and the time needed for calibration varies greatly depending on the volatility surface I am inserting. |
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http://sourceforge.net/mailarchive/message.php?msg_id=5505816
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| | swaption - definition of swaption by the Free Online Dictionary, Thesaurus and Encyclopedia. |
| | This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional. | | | An option giving the buyer the right to enter into a swap agreement by a specified date. | | | swaption - definition of swaption by the Free Online Dictionary, Thesaurus and Encyclopedia. |
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http://www.thefreedictionary.com/swaption
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| | Simulated Swaption Deltahedging in the Lognormal Forward Libor Model (ResearchIndex) |
| | Despite incompatibilities with the model assumptions, the Black method performs equally well as the LIBOR method, yielding very similar... | | | Hedging methods implied by the Blackswaption formula are compared with a lognormal forward LIBOR model approach encompassing all the relevant forward rates. | | | Please bear with us while we fix the problem. |
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http://citeseer.ist.psu.edu/442879.html
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| | Swaption Vol |
| | From what I understand, the simplest volatility is the Black-Scholes vol which is assumed to be constant in the enclosed formula solution. | | | Can someone give me an example of how swaption vol matrix is used in calculating a Bermudan option using a one factor model with a trinomial tree. | | | For interest rate derivatives in general, volatilty refers to future interest rates, right? |
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http://www.contingencyanalysis.com/archive/archive01-3/000002a7.htm
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