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Derivatives

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  • March 25, 2021
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Cash-Settled Swaption

A swaption which is settled in cash rather than physical. Furthermore, it is a swaption giving its holder the right to enter into a swap when the swaption is in-the-money. The holder seeks to receive the cash value of the underlying swap, but not to exercise on it. The cash value is determined depending on the discount factors which underpin the swap’s annuity.


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