Derivatives
ITM Swap
June 21, 2020
Derivatives
In-The-Money Swaption
June 21, 2020

A swap in which the present value of the net fixed-rate payments is less than the net present value of the net floating-rate receipts from the perspective of a fixed-rate payer. On the contrary, from the view point of a floating rate payer, the swap would be in the money when the present value of the net floating-rate payments is less than the present value of the net fixed-rate receipts.

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