PAROLE IN INGLESE ASSOCIATE CON «SWAPTION»
swaption
volatility
surface
bermudan
valuation
example
straddle
payer
american
option
granting
owner
right
obligation
enter
into
underlying
swap
although
options
traded
variety
swaption
investopedia
agreement
specify
whether
like
call
bond
superderivatives
glossary
conditions
trade
date
swaptions
derivative
wiki
resources
fincad
forward
start
provides
purchaser
either
learn
more
concepts
buzzwords
connection
callable
bonds
cancelable
putable
komerční
banka
represents
some
future
gains
close
this
pricing
opengamma
developers
quantitative
research
abstract
implementation
details
european
different
risk
usually
vanilla
unless
stated
otherwise
that
cube
swiss
finance
institute
epfl
anders
trolle
ecole
polytechnique
fédérale
lausanne
princeton
workshop
purchase
product
file
purchases
conclude
description
receives
defined
specified
with
giving
complextype
schema
documentation
fpml
means
cash
settlement
applicable
transaction
defines
parameters
10 LIBRI IN INGLESE ASSOCIATI CON «SWAPTION»
Scopri l'uso di
swaption nella seguente selezione bibliografica. Libri associati con
swaption e piccoli estratti per contestualizzare il loro uso nella letteratura.
1
Financial Derivatives: Pricing and Risk Management
Swaptions are optionstopay (swaption payers) or receive (swaption receivers)
fixed rate on a swap. The common representation is to quote, for example, a 5X5
or a 3mX10 swaption. A 3mX10 option has a term of three months (the option ...
Robert Kolb, James A. Overdahl, 2009
2
Valuation of Interest Rate Swaps and Swaptions
In this chapter we look at how changes in both the market inputs to the swaption
valuation and terms of the swaption affect the value of a swaption. This chapter is
in the same spirit of the sections in Chapters 6 and 8 where we demonstrated ...
Gerald W. Buetow, Frank J. Fabozzi, CFA, 2000
3
Derivative Instruments: A Guide to Theory and Practice
The buyer of a swaption has the right but not the obligation to enter into an
interest rate swap agreement during the life of the option. The terms of the
swaption will specify whether the buyer is the fixed- or floating-rate payer; the
seller of the ...
Brian Anthony Eales, Moorad Choudhry, 2003
4
Wiley IFRS 2008: Interpretation and Application of ...
Note that the following period (at December 31, 2009) prime drops to such an
extent that the value of the swaption evaporates entirely. Actually, the value
becomes negative, which will not be reported since the holder is under no
obligation to ...
Barry J. Epstein, Eva K. Jermakowicz, 2008
5
Dynamic Term Structure Modeling: The Fixed Income Valuation ...
7:0 : PFixed-Coupon Bond(t) _ PFloating-Rate Bond(t) INTEREST RATE
SWAPTIUNS An interest rate swaption is an option written on an interest rate
swap. A payer swaption gives the option holder the right to initiate a payer swap.
Similarly ...
Sanjay K. Nawalkha, Gloria M. Soto, Natalia A. Beliaeva, 2007
6
Introduction to Derivatives and Risk Management
As it turns out, however, MPK holds a payer swaption that allows it to enter into a
pay-fixed, receive-floating swap paying a fixed rate of 11.5 percent. It should be
obvious that the swaption is expiring with a positive value. MPK can enter into a ...
Don Chance, Roberts Brooks, 2012
7
Handbooks in Mathematical Finance: Option Pricing, Interest ...
The case of cross-market exotics, however, is not so simple - how does one treat
barrier swaptions triggered by Libor, and how does one calibrate simultaneously
to both cap and swaption markets? In the authors' opinion, the Libor model is ...
E. Jouini, J. Cvitanic, Marek Musiela, 2001
8
Quantitative Analysis, Derivatives Modeling, and Trading ...
is typically 2 business days before 7]s in U.S.) is given by97 Swaption^^ ^^Swap^
^ ,r)J . (7.42) We can try to use the same technique that we used for caps/floors in
the previous section, i.e., the quantity SwaptionltN(t,R)jp(t,Tis'R} (t<Tts'R) is a ...
9
Wiley GAAP 2010: Interpretation and Application of Generally ...
It will be assumed that the time value of the swaption expires ratably over the two
years. This swaption qualifies as a cash flow hedge under ASC 815. However,
while the change in fair value of the contract is an effective hedge of the cash flow
...
Barry J. Epstein, Ralph Nach, Steven M. Bragg, 2009
10
Numerical Methods for Finance
The data set comprises swaption quotes on a selection of weekly observations
over the period 1/1/2001-12/31/2004, obtained from Datastream and equating to
209 trade dates. The swaption quotes represent at-the-money-forward (ATMF) ...
John Miller, David Edelman, John Appleby, 2007
10 NOTIZIE DOVE SI INCLUDE IL TERMINE «SWAPTION»
Vedi di che si parla nei media nazionali e internazionali e come viene utilizzato il termine ino
swaption nel contesto delle seguenti notizie.
Managing swaptions in the face of negative rates – Webinar invitation
When it comes to handling swaptions specifically, buy and sell sides alike struggle with managing negative rates popping up in their trade environment. «HedgeWeek, giu 15»
FINCAD Delivers New Negative Interest Rate Functionality for Asset …
In response to client demand, F3 has implemented shifted SABR and shifted Black Swaption volatility models, the industry standard approach to handling ... «Business Wire, giu 15»
Dividend Sustainability Analysis For The 13.4% Yield On CYS …
When an mREIT is buying swaptions, they have a tendency to keep the cost out of Core EPS. It is a cash cost and it reduces the duration of the portfolio, but it ... «Seeking Alpha, giu 15»
The E-Mail That Helped Catch Barclays: 'ISDAfix Is Manipulated'
For example, on June 25, 2007, the Barclays options desk in New York had a $635 million swaption contract that was coming due, according to the CFTC. «Bloomberg, mag 15»
Bond investors urged to consider their 'swaptions'
NEW YORK, April 30 (IFR) - Historically low volatility in credit default swap indices offers a cost-effective opportunity for investors to start hedging their bond ... «Reuters, mag 15»
Debt Options Traders Capitulate on Hedges for Lower U.S. Rates
The so-called swaption skew shows a bias for hedges against 10-year rates rising. The measure reached a more-than-one-year extreme leaning toward ... «Bloomberg, apr 15»
Eris sees swaptions as key product opportunity
US firm Eris Exchange is looking at launching swaptions to complement its growing suite of swap futures products, the exchange told FOW. Neal Brady, chief ... «FOW magazine, apr 15»
American Capital Agency: What We Are Watching For In The Q1 …
While swaption involvement and general hedge practices will be in focus for the Q1 report, it appears unlikely that there has been a material change made to this ... «Seeking Alpha, apr 15»
EUR: All Is Well That Ends Well: Will QE? - Nordea
A whole other is an implied break-even of around -0.14% (on the 1Y swap rate in 1Y year) when selling the 1Y1Y receiver swaption. Selling the straddle gives a ... «eFXnews, apr 15»
How Swaptions Can Reduce Risk in Portfolios
Swaptions are options on a swap where one counterparty (buyer) has paid a premium to the other counterparty (seller) for an option to choose whether the swap ... «Investopedia, mar 15»
