Derivatives
Cega
June 14, 2021
International Trade
Autarky
June 15, 2021

An swaption that gives the holder, already a counterparty to a quanto swap, the right, without the obligation, to cancel the swap at some preset time(s) in the future. This structure may entail that the options holder pay some sort of a premium or exercise fee to the options seller.

The quanto swaption also refers to an option contract that allows the holder to enter into a quanto swap at a certain future date.

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