What is a delta of a payer and a receiver swaption? Is it negative for receiver swaption and positive delta for payer swaption?

  • 2
    $\begingroup$ How do you define Delta? (w.r.t. the forward swap?) Intuitively a Receiver Swaption gains in value as interest rates go down, a Payer Swaption gains in value as i.r. go up. $\endgroup$ – noob2 May 22 at 9:43


understand it implies received the fixed leg, hence the delta would be negative for the receiver and positive for the payer.

| improve this answer | |
  • $\begingroup$ understand, edited the reply, thank you $\endgroup$ – Jonat May 22 at 17:00

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.