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Swaption

A swaption (a portmanteau of "swap" and "option") is an option granting its owner the right but not the obligation to enter into an underlying swap on specified terms at a future date. In practice the term is most commonly used for options on interest rate swaps, where the holder has the right to enter into a fixed-for-floating interest rate swap.

Products, Valuation & Risk and regulation

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Valuation

MoneynessForward rateNPVQuantitative analystsLattice model (finance) § Interest rate derivatives
24 related topics

Risk and regulation

Counterparty credit riskMarket riskCollateralISDAInitial margin
10 related topics

Definition and basic types

Settlement
1 related topics

Swaption market

Investment banks
1 related topics

Topics to explore

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Overview

Definition and basic types

Swaption market

Swaption exercise styles

Valuation

Risk and regulation

Advanced semantic analysis

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Map overview Semantic statistics

Swaption

Nodes53
Edges52
Triples80
Avg. degree1.96
Density0.037736
Components1

How this topic connects Entity context

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Swaption

Top relations

related to External links · 38
Swaption → Advanced Fixed Income Analytics, Alternative Valuation Methods, Backus, BaselBlack-Scholes, Basic Fixed Income Derivative, Black's Model Dr, Blanco, Businesses, Caps, Carlos, December, Details, Eduardo, Education, Empirical Evidence, Financial-edu, Francis, Global Health Promotion, Hedging, Jacqueline Henn-Overbeck
related to Risk and regulation · 10
Swaption → Banking Supervision, Basel Committee, Because, Counterparty, International, International Organization, ISDA, Securities Commissions, The, Under
related to Valuation · 9
Swaption → Addressing, Bermudan, Black, European, For American, However, Moneyness, NPV, The
related to Swaption market · 8
Swaption → End, For, Investment, Japanese, Legally, Often, OTC, The
related to Swaption exercise styles · 5
Swaption → American, Bermudan, European, There, These
related to Definition and basic types · 3
Swaption → In, The, There
is a · 2
Swaption → contract granting a party the right to enter an agreement with another counterparty to exchange the required payments, option on a fixed-for-floating interest rate swap

Important terminology Word statistics

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Important terminology

swap rate interest swaptions option enter rates underlying right risk owner future exercise valuation time options fixed market banks value

Entity relationships Subject–Predicate–Object triples

SubjectPredicateObjectConfidenceSrc
Swaptionis aoption on a fixed-for-floating interest rate swap0.90text
Swaptionis acontract granting a party the right to enter an agreement with another counterparty to exchange the required payments0.90text
the Black model or interest rate models implemented on a lattice or tree to describe the evolution of future interest ratesinstance ofand either physical or cash settlement.Swaption valuation typically relies on option pricing models0.80text
corporationsinstance ofEnd users0.80text
banks typically use swaptions to manage interest rate risk arising from their core business or from their financing arrangementsinstance ofEnd users0.80text
many swaptions continue to trade bilaterallyinstance ofwhile more customised contracts0.80text
remain subject to the non-cleared margin rulesinstance ofwhile more customised contracts0.80text
Swaptionrelated to Definition and basic typesIn0.60section
Swaptionrelated to Definition and basic typesThe0.60section
Swaptionrelated to Definition and basic typesThere0.60section
Swaptionrelated to External linksMittelmark0.60section
Swaptionrelated to External linksMaurice0.60section

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