| Payer | A Payer swaption confers on the buyer the right, but not the obligation, to enter
into the underlying swap as payer of the fixed rate (and receiver of the floating
rate).
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| Receiver | A Receiver swaption confers on the buyer the right, but not the obligation, to enter
into the underlying swap as receiver of the fixed rate (and payer of the floating
rate).
|
| Straddle | A swaption straddle is a strategy trade, in which the buyer simultaneously purchases
a Payer and a Receiver swaption at the same strike (fixed rate) and with otherwise
identical economic characteristics.
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| NonStandard | This designation is reserved for swaptions with non-standard characteristics e.g.
having a basis swap or cross-currency swap underlyer.
|