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AUD swaption volatilities underlying
Hi,Does anybody know what is the underlying AUD swap of a AUD swaption on Bloomberg? The AUD swap rates on Bloomberg for 1-3 years are quoted quarterly with actual/365 daycount convention, while the 4-30 years are quoted semi-annually. In the market, the most liquid 1Y AUD swap has fixed quarterly vs. floating BBSW3m (AUD Bank bill). Is a AUD 1Y1Y Swaption an option written on a 1Y AUD fixed vs. Floating BBSW3m, or is it on AUD fixed vs. 6m AUD LIBOR?Thanks,J
Last edited by joeyk on April 7th, 2009, 10:00 pm, edited 1 time in total.
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- Martinghoul
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AUD swaption volatilities underlying
Firstly, does the floating frequency actually matter a great deal?Secondly, I don't know the answer to the question, but I would proceed by asking a different question. Specifically, how does the AUD swpt mkt settle the trade? If there's something akin to ISDAFIX (which is used for USD/GBP/EUR etc) for AUD, then that's the source for your convention information.
Last edited by Martinghoul on April 7th, 2009, 10:00 pm, edited 1 time in total.
AUD swaption volatilities underlying
Hi,In general, if I need to use swaption volatilities for calibration of an interest rate model, and my yield curves are bootstrapped using the most liquid swap rates, which, in AUD case would be BBSW3M vs. Fixed, I believe it is best to preserve the consistency at least in the underlying swap which these swaptions are written on. Therefore I would like to find out. Where should I look for the AUD ISDA swaption document, and if I am not interested in purchasing a swaption, would I be able to get my hands on one of these documents from a dealer? Thanks,Jeanine
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- Martinghoul
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AUD swaption volatilities underlying
jk, The point I am trying to make is that the swpt premia/vols are not affected by the floating freq. As to the ISDAFIX equivalent for AUD, I honestly would love to tell you, but I simply don't know. You need to either ask an active AUD mkt participant or it could be worthwhile trying to talk to these folks here: ISDAFIX? They may be able to tell you what the procedure is like for currencies that they currently do not deal with. Otherwise, if you're truly desperate, PM me and I might be able to help. Cheers!