标题: Cap and Payer Swaption [打印本页] 作者: xiaotutu 时间: 2011-7-11 17:47 标题: Cap and Payer Swaption
Which one is more valuable, cap or payer swaption? Intuitively, I would think that cap is more valuable because the swaption is locked into paying a fixed rate unlike a cap holder who can still benefit if rates fall.
Are there any other reasons?作者: mnieman 时间: 2011-7-11 17:47
the question doesnt make sense really, they are different products completely.作者: scr879 时间: 2011-7-11 17:47
A swaption is a more conservative strategy, and more expensive, than a cap (typically). Swaption vol is less erratic. This is definitely material that won't be on the exam.
