Question

The following appeared on a quote sheet: “Receiver Swaption: An option to receive the fixed leg of a swap (i.e., long receiver is long duration). Payer Swaption: An option to pay the fixed leg of a swap (i.e., long payer is short duration)”.
(a) Explain why for the receiver swaption the party is long duration.
(b) Explain why for the payer swaption the party is short duration.


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  • CreatedAugust 22, 2015
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