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

### Mid-Curve Swaption

Hello,Can someone please guide me on what's the difference between a Vanilla Swaption and a mid-curve Swaption?Thanks a lot.

mtsm
Posts: 352
Joined: July 28th, 2010, 1:40 pm

### Mid-Curve Swaption

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.

Martinghoul
Posts: 3256
Joined: July 18th, 2006, 5:49 am

### Mid-Curve Swaption

Yeah, people occasionally refer to these as short expiry options, based on the logic mtsm described.

prodiptag
Posts: 124
Joined: September 12th, 2008, 4:41 pm

### Mid-Curve Swaption

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.