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Swaption

Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement by some specified date in the future.

Swaption is described in multiple online sources, as addition to our editors' articles, see section below for printable documents, Swaption books and related discussion.

Suggested Pdf Resources

Options on Interest-Rate Swaps (Swaptions) for cash managers
Options on Interest-Rate Swaps (Swaptions) for cash managers. The situation A Swaption is another product, which can be very useful in these circumstances.
Alternative Valuation Methods for Swaptions: The Devil is in the
Swaption skews and convexity adjustments
far as the joint calibration to swaption smiles and CMS swap spreads is concerned.
THE RELATIVE VALUATION OF CAPS AND SWAPTIONS: THEORY
Linking Caplet and Swaption Volatilities in a BGM/J Framework

Suggested News Resources

Swaption” Comes to Easton, Sort Of
“This is the only time you'll ever hear 'swaption' in Easton,” said Mayor Sal Panto said at city council's workshop meeting. He was referring to a complicated -- and often controversial -- method of investing money used by some local governments.
County Commissioners Approve Bond Refinance
As part of the ordinance, the county will also incur a $7.9 million fee to terminate a previously purchased swaption, which allows for an interest rate swap.
Two Harbors Investment Corp. Reports Second Quarter 2011 Financial Results
A safe place in a falling market?
At the end of June, this fund was invested across more than 10 asset classes, and employed almost 30 different investment strategies with such exotic names as the “European swaption steepener” and “US forward start duration”.
Northampton County officials still concerned about $150 resident fee for West
Cusick said council will be dealing with the budget, capital projects at Gracedale, the swaption and costs of union contracts at the same time. McClure said he thinks voting on the project should be put off until early next year.

Suggested Web Resources

Swaption - Wikipedia, the free encyclopedia
A swaption is an option granting its owner the right but not the obligation to enter into an underlying swap.
Swaption (Swap Option) Definition
Swaption (Swap Option) - Definition of Swaption (Swap Option) on Investopedia - The option to enter into an interest rate swap.
Options on Interest-Rate Swaps (Swaptions) for cash managers
Options on Interest-Rate Swaps (Swaptions) for cash managers. The situation A Swaption is another product, which can be very useful in these circumstances.
Swaption
A swaption is an option on a swap. It gives the holder the right to enter into the swap, without any obligation to do so.
Swaption valuation - Quantitative Finance Collector
A swaption is an over-the-counter derivative on a swap. Normally, the underlying swap is a vanilla interest rate swap.

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