Hi I wanted to know we can assess the moneyness of Cancellable swaps?

For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the moneyness here?

From Bloomberg , Ihave the par coupon rate to be 2.4726% while contract rate is 1.84%

  • $\begingroup$ Hello and welcome to SE. The moneyness of the cancellable swap is the moneyness of the option to cancel, which is basically a swaption in the opposite direction to the swap. $\endgroup$ – byouness Mar 21 '19 at 9:59
  • $\begingroup$ @byouness If I am paying 1.84% fixed in a swap, in order to cancel I will have to enter into a swap where I will receive 1.84% but the par coupon (swap) rate as of valuation is 2.4726%. Therefore, the option to cancel is OTM right? $\endgroup$ – paapi_91 Mar 21 '19 at 10:15
  • $\begingroup$ Correct , it is OTM $\endgroup$ – dm63 Mar 23 '19 at 22:41

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