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A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap. Although options can be traded on a variety of swaps, the term "swaption" typically refers to options on interest rate swaps. In addition, a "straddle" refers to a combination of a receiver and a payer option on the same underlying swap. The participants in xall swaption market are predominantly large corporations, banks, financial institutions and hedge funds.
End users such as corporations and banks typically use swaptions to manage interest rate risk arising from their core business or from their financing arrangements. For example, a corporation wanting protection from rising interest rates might buy a payer swaption. A bank that holds a mortgage portfolio might buy a receiver swaption to protect against lower interest rates that might lead to early prepayment of the mortgages.
A hedge fund believing that interest rates will not rise by more than a certain amount might sell a payer swaption, aiming to make money by collecting the premium. Major investment and commercial banks such as JP Morgan ChaseBank of America Securities and Citigroup make markets in swaptions in the major currencies, and these banks trade amongst themselves in the swaption interbank market. The market making banks typically manage large portfolios of swaptions that they have written with various counterparties.
A significant investment in technology and human capital is required to properly monitor the resulting exposure. Swaption markets exist in most of the major currencies in the world, the largest markets being in U. The swaption market is over-the-counter OTCi. Legally, a swaption is a contract granting a party the right to enter an agreement with another counterparty to exchange the required payments. The counterparties are exposed to each other's failure to make scheduled payments on the underlying swap, although this exposure is typically mitigated through the option basics call put 4x4 of collateral agreements whereby variation margin is posted to cover the anticipated future exposure There are three main categories of Swaption, although exotic desks may be willing to create customised types, analogous to exotic optionsin some cases.
The standard varieties are The valuation of swaptions is basifs in that the at-the-money level is the forward swap rate, being the forward rate that would apply between the maturity of the option - time m - and the tenor of the underlying swap such that the swap, at time m, would have an " NPV " of zero; see swap valuation. Moneyness, therefore, is determined puh on whether the strike rate is higher, lower, or at the same level as the forward swap rate.
Addressing this, quantitative analysts value swaptions by constructing complex lattice-based term structure and short rate models that describe the movement of interest rates over time. For American- and Bermudan- styled optionswhere exercise is permitted prior to maturity, only the lattice based approach is applicable. From Wikipedia, the free encyclopedia.
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Option Basics and Fundamentals
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