Questions tagged [swaption]
The swaption tag has no usage guidance.
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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 ...
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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
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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 ...
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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
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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 ...
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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 ...
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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 * ...
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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 ...
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What are "greeks" in general for non-standard options (swaptions, capfloors, etc)
I know what greeks are for standard options: just take the derivative with respect to some parameter, like spot, time, rate, etc.
But how does one calculate greeks for swaptions and capfloors? I was ...
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Swaption valuation across time using vcub
On Bloomberg one has access to the rates vol cube with the VCUB function. For a given currency, today, one sees Black implied volatilities for swaptions of various expiries and strikes, for forward ...
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