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parott

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tT
发表于 2011-7-13 16:57 | 只看该作者

terminate SWAP using which one

better, solution, interest
if interest rae increasing, in order to terminate a fixed rate receiver SWAP, how to terminate swap, do I pay to fixed rate payer to terminate or use swaption?

which solution is better?
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BelalM

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2#
发表于 2011-7-13 16:57 | 只看该作者
If you get a question like on the sample regarding credit risk, use settle for PV. That was a tricky question.

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ayaz_mahmud369

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3#
发表于 2011-7-13 16:57 | 只看该作者
off the top of my head, three ways of terminating a swap

1) enter offsetting and not net the payements
2) enter offsetting and net payments
3) settle the PV upfront.

So an offsetting swap would be enter as a floating rate receiver.

A swaption is an option to enter a swap at a later date and at expiry the option is just worth the PV of the option rate and current market swap rate x notional.

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