Quantitative Finance Stack Exchange
Quantitative Finance Stack Exchange

Questions tagged [swaption]

164 questions
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Greeks of a swaption using Brigo

I struggeling with calculating the delta of a swaption. In the interest rate case I usually mess around with the multiple cash flows over time so that the discounting is more complex than in the equity case. Let me first introduce some notation. We…
math
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RFR discounting - swaption compensation

Later this month the discount rate for EUR interest rate instruments changes from Eonia to EuroSTR. In October SOFR replaces EFFR. These changes will affect the value of uncleared swaptions and there has been a lot of discussion of the…
Patrick Carey
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How is this greek calculation meaningful?

For a swaption, the "Pricing And Hedging Of Swaptions" paper by Akume et al (2003) says: I get that he's just taking the derivative of the swaption valuation formula (which is N * A * BLACKSCHOLES), but he's assuming A (the annuity) is independent…
Nope
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Swaption Terminology

What does 5y10y200 WC mean? Further, what does 2y10y WS mean? I know the first digit (5 or 2) means that the swaption starts in 5 or 2 years time, and the second digit shows how long the exchange lasts for (10 years), but I'm not sure what the 'WC'…
Jonathan Bush
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Is $N(d_1)$ a good approximation that a swap enters in the money?

I'm looking for an easy method to approximate the probability of the forward swap rate that is implied by the swpation market. One possibility would be to fit a certain model, e.g. SABR, and extract the risk neutral density. On the other hand I know…
swissy
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Carry on a USD 6m10y payer swaption

Trying to calcuate the carry on a 6m10y payer swaption. So far, I have used: carry = spot rate - libor Do I use the 6m LIBOR rate (0.15213%)? And do I just use the 10y yield for the spot rate (1.26)? So is the carry 1.11? Any help would be much…
Jonny
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PV01 of Physically settled Swaptions contrat

Can you please help me figure out how to find PV01 Physically settled Swaptions contract 20Y30Y with fwd rate 0.01974 with fixed freq=2, using ACT/360 with 02/08/2019 -> 02/08/2039 and 02/08/2069 showing calculating step by step would be helpful…
Gogo78
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Practical examples of pricing Mid-Curve Swaptions

Are there any books or papers that run through practical examples of Mid-Curve Swaption pricing, and their liquidity in the market? So I can match the theory to the practical. Thanks.
Algoman
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Can someone explain to me how volatility/premium works for ATM swaptions? Why are they the same for calls and puts?

I don't understand how Bloomberg quotes ATM swaptions, they just show the same volatility/premium and don't separate calls and puts. Are they the same? How does it tie to normal volatility? Thanks
OracleOdessa
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How to interpret the implied vol for swaptions in a bachelier and black model and how forward pricing relates to it

I have two very simple question about the implied volatility of a swaption and how it relates to actual rates level. Suppose we have two famous models, Bachelier and Black. Under either model, the swap rate $S(T)$ for a standard swaption with…
swissy
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What exactly is the nature of swaption vol data?

Newbie here. I'm curious about underlying nature of the swaptions data on Bloomberg. Define an arbitrary tenor and expiry swaption time series as $X$(vol type, currency, reference curve) = [ $x_{t_1}$, $x_{t_2}$,...... $x_{t_n}$] where $X$ =…
user32115
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