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?
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.
发表于 2011-7-13 16:57
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