# Questions tagged [swaption]

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### Volatility adjustment for SOFR/OIS caplet referencing LIBOR vol

Suppose that today the price of a 3m LIBOR caplet with 6m expiry has been calibrated with a particular implied volatility. How would one go about thinking about an adjustment to that volatility to ...
• 9,195
2k views

### American Swaption Pricing with Monte-Carlo method

I want to price an American swaption but I am not sure about what I am doing. Tree methods and PDE discretization seem difficult to adapt to a swaption. I am trying a Monte-Carlo approach. (in ...
• 1,187
12k views

### Forward implied volatility

Can one price accurately by only using vanilla options a derivative that is exposed/sensitive mainly to the forward volatility ? If it is impossible, why do we hear sometimes "being long a long ...
• 436
10k views

### Mid-curve swaption

I would like to know how the mid-curve swaption could inform us about forward volatility. In my understanding it is a swaption on a forward starting swap. Let us say the midcurve swaption expires ...
• 436
3k views

### How to compute forward swap rates?

I am trying to compute shocks on the forward swap rates based on shocks to the swap rate curve (aiming at repricing consistently a set of swaps and swaptions based on a shock to the swap curve): It ...
• 578
522 views

### American Swaption Pricing with PDE discretization

So I am still trying to price an american swaption. (MC approach here: American Swaption Pricing with Monte-Carlo method) I've found in Paul Wilmott, The mathematics of financial derivatives, a PDE ...
• 1,187
750 views

### How is this greek calculation meaningful?

For a swaption, the "Pricing And Hedging Of Swaptions" paper by Akume et al (2003) says: I get that he's just taking the derivative of the swaption valuation formula (which is N * A * ...
• 21
933 views

### How to understand wedge?

It is heard that trading wedges (cap/floor straddle - swaption) is actually trading the correlation btw forward rates. How to understand this? Either swaption or cap/floor seem to be insensitive to ...
• 51
1 vote