New answers tagged swaption
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Floor vs Receiver Swaption with Equal Strike
This is a classic question and has been asked/well-addressed several times in this forum in prior answers. Suffice it to say, a $K$-strike receiver swaption $\leq$ a $K$-strike floor and this ...
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Floor vs Receiver Swaption with Equal Strike
For single curve pricing (same funding/discounting and forward curve), with index $L(T_{i-1},T_i)$ and its $T_i$-forward expectation $F(T_m,T_{i-1},T_i)$ (forward rate of the index as of $T_m$), we do ...
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Floor vs Receiver Swaption with Equal Strike
I'd say the floor should definitely always be worth more than the swaption.
The vol on the swaption is an average of the expected vol of forwards (averaged to some extent). Intuitively it makes sense ...
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