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Topic: Swaption

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	CMS BondEdge-fixed income portfolio and credit risk analytics
		A payer swaption would give the firm the right to enter into a swap at a future date to receive a floating rate payment in exchange for a fixed rate that is known today.
		In a standard swaption, the strike rate is the at-the-money swap rate as of the forward start date (the date the swaption expires) corresponding to the maturity of the underlying swap.
		As with caps and floors, traders typically quote swaption prices for swaptions in terms of volatility levels – so, for example, the price of a one month into five year swaption would be quoted as, say, 25%, referring to the volatility of the five year swap rate in one month.
	www.interactivedata-fia.com /b2b/bb_swaptions.html (891 words)

	CMS BondEdge-fixed income portfolio and credit risk analytics
		A payer swaption would give the firm the right to enter into a swap at a future date to receive a floating rate payment in exchange for a fixed rate that is known today.
		In a standard swaption, the strike rate is the at-the-money swap rate as of the forward start date (the date the swaption expires) corresponding to the maturity of the underlying swap.
		As with caps and floors, traders typically quote swaption prices for swaptions in terms of volatility levels – so, for example, the price of a one month into five year swaption would be quoted as, say, 25%, referring to the volatility of the five year swap rate in one month.
	www.cmsbondedge.com /b2b/bb_swaptions.html (891 words)

	Swaption - Wikipedia, the free encyclopedia
		European Swaptions are usually valued using the Black model, where, for this purpose, the underlier is treated as a forward contract on a swap.
		The first known swaption was constructed and executed by William Lawton in 1983.
		The swaption was for a period of one year.
	en.wikipedia.org /wiki/Swaption (1038 words)

	St.George Bank - Interest Rate Swap Option (Swaption)
		Swaptions are helpful in managing possible interest rate risk occurring at some time in the future.
		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.
		By acquiring the Swaption you have obtained comfort that if rates rise beyond the agreed level prior to rollover or draw down date you are insulated from these increases.
	stgeorge.com.au /corporate/transaction/int_rate_rm/option.asp?... (1285 words)

	Swaption
		A payer swaption is a call on a pay-fixed swap—the swaption holder has the option to pay fixed on a swap.
		A receiver swaption is a call on a receive fixed swap—the swaption holder has the option to receive fixed on a swap.
		A year later, if the four-year swap rate is 6%, she will exercise the swaption and pay 5% fixed for Libor flat on a four-year swap.
	www.contingencyanalysis.com /glossary/articles/swaption.htm (668 words)

	St.George Bank - Interest Rate Swap Option (Swaption) (Site not responding. Last check: 2007-10-14)
		Swaptions are helpful in managing possible interest rate risk occurring at some time in the future.
		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.
		By acquiring the Swaption you have obtained comfort that if rates rise beyond the agreed level prior to rollover or draw down date you are insulated from these increases.
	www.stgeorge.com.au /corporate/transaction/int_rate_rm/option.asp?orc=institution (1285 words)

	Introduction to Pricing Approach
		A swaption provides the holder with the right, but not the obligation, to enter into a specific swap deal on a future date (or set of dates).
		Swaptions on the other hand require the payment of an initial premium but give the holder discretion as to whether the option will be exercised.
		To see the benefit of the flexibility provided by a swaption, consider the situation faced by company A that needs to borrow $10M at LIBOR plus 100 basis points in six months time and intends to enter into a swap agreement at that time to effectively convert the floating rate loan into a fixed loan.
	www.derivativepricing.com /helpfiles/2241.htm (642 words)

	[No title] (Site not responding. Last check: 2007-10-14)
		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.
		A payer swaption is the right to enter into a swap as a fixed-rate payer and a receiver swaption is the right to enter into a swap as a fixed-rate receiver.
		At expiration, the swaption will be in-the-money if the rate on a five-year swap based on 180-day LIBOR exceeds the exercise rate specified in the swaption.
	business.fullerton.edu /finance/tylai/FIN444/SP04/im13.doc (2638 words)

	Types of Options
		This type of option is generally quite expensive because of the flexibility afforded to the buyer.
		In this case, the swaption gives us the right but not the obligation to enter into a swap with the same terms except that we will be buying fixed rates and receiving floating rates.
		The seller of the swaption, usually a commercial or investment bank, assumes the risk of interest rate changes, in exchange for payment of a swap premium.
	www.sp.uconn.edu /~jstiver/Eco230/options.htm (1926 words)

	RealMoney.com: Look Both Ways When Crossing Bond Street
		A swaption is the right, but not the obligation, to enter into a swap at some point in the future.
		A put swaption buyer has the right to receive the floating rate and pay the fixed rate; this is a bearish position in bonds as you profit if rates rise in the future.
		As swaption volatility is still falling rapidly, we have to conclude the risk for higher yields remains.
	www.thestreet.com /p/rmoney/bonds/10278513_2.html (586 words)

	Watch Swaptions, Not the Yield Curve (Site not responding. Last check: 2007-10-14)
		A swaption is the right, but not the obligation, to enter into an interest rate swap at some point in the future.
		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.
		Swaption volatility has not fallen as rapidly as we might have expected since late October; this suggests that either yields are too high or swap rates are too high.
	www.thestreet.com /options/futuresshocktsc/10255951_2.html (566 words)

	Swaptions (European Exercise, Black Model)
		A swaption is an option on a forward start swap which provides the purchaser the right to either pay or receive a fixed rate.
		Swaptions can be used as hedging vehicles for fixed debt, floating debt or swaps.
		Swaptions are also used in the engineering of structured notes in order to obtain the contingent payoff profiles requested by the investors.
	www.fincad.com /support/developerFunc/mathref/Swaptions.htm (2403 words)

	KNOCK-IN SWAPTION
		The swaption only comes alive, or knocks in when some defined barrier (the knock in level) is reached during or at the end of the option period.
		Both Receiver and Payer Swaptions can be Knocked-In with reference to a wide range of underlyings, including LIBOR, FX, commodity and equity levels.
		The first thought is a 6 month payer swaption on a 4 year swap which would cost 282 bp.
	ciberconta.unizar.es /bolsa/kis.htm (395 words)

	Global Markets \| Interest Rate Derivatives \| Interest Rate Swaption
		The buyer of a Swaption has the right, but not the obligation, to pay (in the case of a payer's Swaption) or receive (in the case of a receiver's Swaption) fixed interest on an agreed IRS.
		With a European style Swaption this right is exercisable on a specific date (the exercise date).
		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.
	www.standardchartered.com /pk/gmkts/gmkts_ir_swaption.html (542 words)

	PT> Commodity Swaptions
		Commodity swaption structures are a variant of the commodity swap structure considered above.
		A floating-for-fixed swaption may either be a call (the right to swap into floating from fixed) or a put (the right to swap into fixed from floating).
		The swaption repayment scheme corresponding to the swap scheme in equation (3) may be expressed as
	www.performancetrading.it /Documents/CgCommodity/CgC_Swaptions.htm (454 words)

	[No title]
		A Swaption is a finanicial term 4 meaning an option to 5 engage in a Interest 3 rate swap.
		Dave 8 wants the higher 5 temporary cash flow and 2 if the variable rates 3 go down (which 4 he doesn't think 0 will happen) and is 3 willing to live 9 with a little 3 risk.
		Everyone is happy; 9 the swaption can be 3 exercised and both people 2 may still make 7 a profit, depending on 8 the timing and amounts 3 involved.
	www.cleog.com /swaption_.htm (687 words)

	swaption - opción sobre swap (swaption) (English to Spanish translation glossary) Finance (general),Bus/Financial
		A swaption is an option on a swap, usually on an interest-rate swap.
		It provides the holder with the right to enter into a swap at a specified future date at specified terms (freestanding option on a swap) or to extend or terminate the life of an existing swap (embedded option on a swap).
		Es decir, si a un "trader" le empiezas a hablar de una "opción sobre un intercambio", te mirará perplejo y finalmente dirá: 'Ah, estàs hablando de una "swaption".
	www.proz.com /kudoz/1839814 (343 words)

	CapeTools Swaption Portfolio (Site not responding. Last check: 2007-10-14)
		Functions to construct a portfolio of vanilla swaption instruments.
		There is also a function to construct a portfolio of swaption instruments where the prices are already known.
		IVSwaptionPortfolio - Creates a Swaption portfolio object in order to compute a series of implied fl scholes volatilities.
	www.quanttools.com /HTMLHelp/html/CT.09688.htm (170 words)

	exoticas
		A Swaption gives the firm a period of time when the firm can take advantage of a fixed borrowing cost.
		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%.
		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.
	ciberconta.unizar.es /bolsa/options2.htm (592 words)

	Wilmott Forums - Swaption pricing in Hull and White 1-factor (Site not responding. Last check: 2007-10-14)
		As a regular practice, calibration based on swaptions forms the outer loop of the complete calibration cycle (while the inner loop is based on caps).
		Swaption pricing in short rate models is done as follows.
		For example, for a swaption market price of 4.2 the solution is not converging, for 4.3 its converging beautifully.
	www.wilmott.com /messageview.cfm?catid=34&threadid=37888 (966 words)

	Simulated Swaption Delta-Hedging in the Lognormal Forward Libor Model
		Alternative approaches to hedging swaptions are explored and tested by simulation.
		Hedging methods implied by the Balck swaption formula are compared with a lognormal forward LIBOR model approach encompassing all the relevant forward rates.
		The simulation is undertaken within the LIBOR model framework for a range of swaptions and volatility structures.
	ideas.repec.org /p/uts/rpaper/40.html (328 words)

	Wilmott Forums - Swaption Vol. Surface Query (Site not responding. Last check: 2007-10-14)
		The reason is that, say, an x1 into 2y swaption and a x2 into 2y swaption have different underlyings...
		Whereas with swaptions its simply the impl vol quote for n x m swaptions.
		For example, one can ask for the implied volatility suface for a particular swaption to see if it is reasonable.
	www.wilmott.com /messageview.cfm?catid=4&threadid=8720 (423 words)

	[No title]
		The floating leg may set at a different frequency than the fixed and a margin may be specified.
		The Hull and White (or Ho and Lee) term structure model is used.
		Calculate fair value and risk statistics for a Bermudan style swaption where exercise is possible on coupon dates.
	www.fincad.com /support/developerfunc/reference/Swaption.htm (410 words)

	swaption (Site not responding. Last check: 2007-10-14)
		Strike rate of swaption, as an annual percentage, that represents the fixed leg coupon of underlying swap.
		Default is '0', FX risk will not be ignored for this position.
		Parameter for swaptions, either price (1) based or yield (0) based.
	rm3.riskmetrics.com /Help/Position_Import_Formats/RM3D_Version36/swaption.htm (609 words)

	CiteULike: Unifying the BGM and SABR Models: A short Ride in Hyperbolic Geometry (Site not responding. Last check: 2007-10-14)
		This formula is useful to quickly calibrate a model to a full swaption matrix.
		We apply this formula to a specific model where the forward rates are assumed to follow a multi-dimensional CEV process correlated to a SABR process.
		For a caplet, this model degenerates to the classical SABR model and our asymptotic swaption implied volatility reduces naturally to the Hagan-al formula \cite{sab}.
	www.citeulike.org /user/alexv/article/1054525 (293 words)

	SSRN-On Pricing and Hedging in the Swaption Market: How Many Factors, Really? by Rong Fan, Anurag Gupta, Peter Ritchken
		This article examines how the number of stochastic drivers and their associated volatility structures affect pricing accuracy and hedging performance in the swaption market.
		In spite of the fact that low dimensional one and two-factor models do not reflect historical correlations that exist among forward rates, we show that they are capable of accurately pricing swaptions as well as higher order multifactor models, across all expiry dates and over all underlying swap maturities.
		This is true even if one accounts for the fact that fewer hedging instruments are required when single factor models are used to hedge swaptions.
	papers.ssrn.com /sol3/papers.cfm?abstract_id=285958 (373 words)

	Rockford School District Swaption Transaction
		A swaption enables issuers to monetize the value of a call option on bonds that are not advance refundable.
		The District’s Series 1994 Bonds could not be refinanced via a traditional bond refunding until their call date of February 1, 2007.
		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.
	www.wmblair.com /Pages/news_story_dept.asp?uid=736&depID=8 (227 words)

	swaption and Stock Trading at TradeStars + Stock Trading (Site not responding. Last check: 2007-10-14)
		swaption and stock trading - fab supplies of swaption totally disclosed with no charge.
		up to billion dollar swaption funds managed by major corporations.
		Nowadays, most individuals for swaption markets always rising over time, the answer is a guarded yes.
	www.tradestars.com /content/swaption.asp (60 words)

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