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Wasting Swaption


An swaption in which the termination date of the underlying swap is fixed at the trade date. As time gets by and the option gets closer to its expiration date, without being exercised, the remaining tenor of the underlying swap gets shorter. In other words, the swaption doesn’t only exhausts its chances for exercise, but it also wastes the tenor of its underlying swap.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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