QuoteOriginally posted by: seanmokCan I please ask what the below quote means for bermudan swaption? what does +1 mean?20nc5+1 50/581 is the call frequency after the initial non call periodSo above you have got 20y non call 5 and callable every year thenafter50/58 are not the strikes (well they are but not quite) they are bp spread over the spot swap rate in this case 20y swap...so kind of gives you a pickup straight away by selling the call provision(s)

QuoteOriginally posted by: bonronI am new to the Swaptions world and therefore my question may sound too simplistic/stupid.In trading swaptions, what kind of limits do firms usually impose on traders?Typically, there some limits are imposed on Notional, Signed Notional, NPV, PV01 and Delta01 for most traded products.I am not sure for the optionality of Swaptions what kind of additional limits are used.Can someone please help with some real life examples?Thanks so much!Risk limits on a swaptions desk these days are much more sensible than say 5 years ago...You would have limits on bucketed vega, vol of vol, skew and even scenario based limits for lopsided convexityBut there are no thumb rules the books are so complicated that the desk head can easily control the risk dept and take him his way!

Hi All: I am new to swaptions and came across your references to swaptions primers. Would it be possible to email me the primers too?Thanks in advance!