Swaptions are over-the-counter contracts and are not standardized, like equity options or futures contracts. Thus, the buyer ...

Weaker-than-expected results of last Friday’s 5-year auction caused caution towards tomorrow’s 20-year auction to increase further, providing swaptions with an extra push higher. The surge in vols was ...

The combination of swaps and options yields a financial instrument called swaptions. This post sheds light on one of the types of swaptions – receiver swaption. Like options, Swaptions can be of ...

Swaptions (Swap + options) is a derivative financial instrument with a swap as the underlying. One party called the writer or seller of the option gives another party called the holder or buyer of ...

PFIX ETF's short to medium term outlook has turned negative, as the Fed begins a rate-cutting cycle. Find out why I'm ...

I quite like IVOL, a special ETF which holds swaptions on the 2-10 constant maturity spread. I go pretty in depth on IVOL in this article published a few weeks ago. Analyst’s Disclosure ...

Increased client adoption of specified pool trading led to record volumes for the month. Swaps/swaptions ≥ 1-year ADV was up 5.4% YoY to $402.3bn and total rates derivatives ADV was up 35.7% YoY to ...

We evaluate the classical Cox, Ingersoll and Ross (1985) (CIR) model using data on LIBOR, swap rates and caps and swaptions. With three factors the CIR model is able to fit the term structure of LIBOR ...

Topics include term structure of interest rates, treasury securities, strips, swaps, swaptions, one-factor and two-factor interest rate models, Heath-Jarrow-Merton (HJM) models, and credit derivatives ...

The current implementation uses very small CUDA kernels which affects the performance. This may be optimized quite straight forwardly in future versions. This implies a specific performance ...