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Swap option
An option contract whose underlying is an interest rate swap.
The payer swaption can be distinguished from the receiver swaption depending on whether the buyer acquires, in exchange for a premium, the right to enter into a swap at or until a specified date as a fixed-rate payer or a fixed-rate receiver at a predetermined exercise rate in exchange for floating-rate payments.
Translations
Synonyms and variations
- Swaption