# Questions tagged [swaption]

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3 answers
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### Floor vs Receiver Swaption with Equal Strike

Let's say we have the following two instruments. A 5x10 floor (5-year floor, five years forward) with a 4% strike on 1-year SOFR and A 5 into 5 European receiver swaption (right to enter into a 5-...
0 votes
0 answers
55 views

### When calculating swaption greeks, would annuity need to be considered? [duplicate]

we all know that swaption price = annuity * black price. The question is that when calculating risks, should we treat annuity as a constant. i.e. is it correct that swaption delta = annuity * black ...
• 736
1 vote
1 answer
123 views

### what is the point of SABR model as an interpolation tool if we can already observe the whole vol cube from the market

on BBG and other data providers, it is common that you can find the whole vol surface/cubes. What is the point of the SABR model as an interpolation tool? why cannot people just linear interpolate the ...
• 736
0 votes
1 answer
121 views

### Effect on Forward Swap Rate from a parallel shift in forward curve

Can anything be said on how a parallel shift in the forward curve affects the forward swap curve? To be more concise, say we have a model estimate of the implied vol for the 2Y-10Y point (2Y ...
• 13
2 votes
1 answer
752 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
0 votes
0 answers
105 views

2 votes
0 answers
303 views

### Swaption extrapolation

I have some ATM swaption volatilities with the following characteristics: (-IBOR) payment frequency: 1M Underlying swap maturities (tail): 1Y, 2Y, 5Y, 10Y, 15Y and 20Y Swaption expiries: 1M, 3M, 6M, ...
1 vote
0 answers
379 views

### Greeks of caps,floors and swaptions

I will have an interview for a junior position as interest rates volatility trader. I would like ask you some questions about greeks of caps floors and swaptions. Are Caps vega positive? Are floors ...
• 11
6 votes
3 answers
602 views

### Trading desk assumes zero percent discount rate?

All the swaption and option models I have encountered at my employer's trading desks have assumed a zero percent discount rate. I have proposed using the LIBOR curve, but management responded that &...
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