Can someone please list all the Swaption trade data elements. I am doing research and trying to ensure I document all key data elements of a Swaption trade.


1 Answer 1


Assuming you are talking about interest rate swaptions: Expiration date and time ; Type of option (payer, receiver, or straddle) ; Start and end date of underlying swap; Details of the underlying swap: Fixed rate and payment dates of the fixed leg ; Floating rate and payment dates of the floating leg

  • $\begingroup$ I’d also add the settlement behavior; ie cash / physical settlement and maybe even the collateralisation of the underlying swap. $\endgroup$ Mar 21, 2022 at 8:01
  • $\begingroup$ I agree with @Kermittfrog. Several settlements are possible: cash settlement , in which case one needs to specify the relevant index; cleared physical settle , in which case one needs to specify the exchange ; and uncleared physical settle, in which case the underlying swap will be an otc swap between the two participants. $\endgroup$
    – dm63
    Mar 22, 2022 at 17:30

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