What is 'Call Swaption'
A type of option between two parties that can be exercised on a swap where the buyer of the swap has the right, but not obligation, to receive an agreed upon fixed interest rate. The buyer pays a premium for the right to swap at this fixed rate. Short for a call swap option, a call swaption can be used as a hedging tool to avoid risk if a bond issuer believes interest rates might decrease.
Explaining 'Call Swaption'
When a buyer feels it will be beneficial, he may enter into a call swaption, which will allow him to swap interest rates. The buyer of the option receives a fixed rate, compared to a put swaption where the buyer pays a fixed rate.
Further Reading
A simple method for pricing interest rate swaptionswww.tandfonline.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Credit default swaptionsjfi.pm-research.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Throwing away a billion dollars: The cost of suboptimal exercise strategies in the swaptions marketwww.sciencedirect.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
On the suboptimality of single-factor exercise strategies for Bermudan swaptionswww.sciencedirect.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Pricing European commodity swaptionswww.tandfonline.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
An evaluation of multi-factor CIR models using LIBOR, swap rates, and cap and swaption priceswww.sciencedirect.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Riding the swaption curvewww.sciencedirect.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Pricing swaptions within an affine frameworkjod.pm-research.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Optimal bank interest margin with synergy banking under capital regulation and deposit insurance: a swaption approachwww.worldscientific.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
Swaptions and optionspapers.ssrn.com [PDF]… the issuer holds, the issuer can arbitrage volatility by buying cheap (low-volatility) embedded calls and then … If the under- lying swap is a long fixed-pay swap combined with a call swaption (receiver swaption … A cap is a series of options, whereas a swaption is one discrete option …
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