Question about interest rate quote

nhutnyak · August 6th, 2014, 8:16 pm

I am looking at a examples of cleared interest rate trades and came across this... 10Y 6M LIBOR 12M 30/360 vs 6M 6M ACT/360 STRADDLE 2.70Can you help dissect the shorthand?My guess: 10yr swap 6M LIBOR paying annually 30/360 against paying 6M LIBOR semiannual act/360, with a straddle overlay struck at 2.7

Martinghoul · August 7th, 2014, 9:10 am

I think this is probably just an unconventional USD straddle, rather than a swap...

nhutnyak · August 7th, 2014, 1:18 pm

Thank you.That makes a little more sense...So it's a 10YR straddle long put(call) on 6M LIBOR paying annually against a long call(put) on 6M LIBOR paying semi, struck at 2.70