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swaption

   Also found in: Financial, Wikipedia 0.01 sec.
swap·tion  (swpshn)
n.
An option giving the buyer the right to enter into a swap agreement by a specified date.

[Blend of swap and option.]

swaption [ˈswɒpʃən]
n
(Economics, Accounting & Finance / Banking & Finance) another name for swap [4]


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Swaption or Swap Option--An agreement under which one party has an option to either enter into or cancel an interest rate swap with the other under specified terms.
Appropriate for graduate students in finance and researchers, the book introduces a stable calibration procedure by incorporating a criterion related to the swaption market, examines Libor exotics pricing based on real life calibrated models, and considers the impact of different calibrations on a variety of popular exotic derivative structures.
This decrease was primarily driven by changes in overall interest rate spreads and an increase in swaption volatilities.
 
 
 
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