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- lamotta1974
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Swaption Cash Settlement
Anyone know where I can find ISDA documentation on Swaption Cash Settlement possibilities.Particularly I am interested in whether US Banks offer a European type Cash Settlement ability - ie where the Swaption price & payoff is discounted using a flat yield curve equal to the relevant Swap Rate, as opposed to using the whole yield curve.ThanksLuke
Last edited by lamotta1974 on October 24th, 2010, 10:00 pm, edited 1 time in total.
Swaption Cash Settlement
QuoteOriginally posted by: lamotta1974Anyone know where I can find ISDA documentation on Swaption Cash Settlement possibilities.Particularly I am interested in whether US Banks offer a European type Cash Settlement ability - ie where the Swaption price & payoff is discounted using a flat yield curve equal to the relevant Swap Rate, as opposed to using the whole yield curve.ThanksLukeWell...AIG used them, can't confirm for others at the moment...
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- Martinghoul
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Swaption Cash Settlement
Yes, I am pretty sure banks would be able to offer this...