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Fackouch
Topic Author
Posts: 7
Joined: December 10th, 2015, 12:01 pm

Mid-Curve Swaption

March 4th, 2016, 3:45 pm

Hello,Can someone please guide me on what's the difference between a Vanilla Swaption and a mid-curve Swaption?Thanks a lot.
 
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mtsm
Posts: 352
Joined: July 28th, 2010, 1:40 pm

Mid-Curve Swaption

March 4th, 2016, 4:04 pm

It's a silly terminology introduced by CME (?). Early expiry option is a more meaningful term. Suppose you take a european swaption and fix the definition of the underlying and now consider an option that expires earlier than the european does. Then you have a midcurve swaption.Also look at midcurve europdollar options on CME for some docs.
 
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Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

Mid-Curve Swaption

March 4th, 2016, 4:39 pm

Yeah, people occasionally refer to these as short expiry options, based on the logic mtsm described.
 
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prodiptag
Posts: 124
Joined: September 12th, 2008, 4:41 pm

Mid-Curve Swaption

March 10th, 2016, 9:45 pm

easiest way to understand this is when a midcurve options expires, you get (or pay) a forward (or futures in case listed option) on the underlying, unlike vanilla where you get (or pay) the underlying itself.
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