Serving the Quantitative Finance Community
swaption straddle
HI,Can anyone identify the differences between "2-year into 10-year swaption straddle" and "1-year into 1-year 6% payer swaption"?I know what these instruments do, but I don't know whether there are other differences between these two instruments, apart from cash flow structure, and long volatility.Thanks in advance.vantan
swaption straddle
>> Can anyone identify the differences between "2-year into 10-year swaption straddle" This is where two swaptions - one a payer, the other receiver - are bought/sold at the same time, with the same strike, option expiry and underlying tenor. So here we have the expiry of the options lasting 2 years from now and the underlying swap having a tenor of 10 years.>> and "1-year into 1-year 6% payer swaption"?Here we have just the standard swaption structure ie. just a single option.I hope this answers your question; if not, or I've misunderstood - please reply.Mut