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

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    $\begingroup$ 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
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EDIT

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

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Jonat is a new contributor to this site. Take care in asking for clarification, commenting, and answering. Check out our Code of Conduct.
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  • $\begingroup$ understand, edited the reply, thank you $\endgroup$ – Jonat May 22 at 17:00

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