Derivatives
Zero Recovery Swap
July 28, 2021
Finance
EBY
July 28, 2021

An option that gives the holder the right, without the obligation, to enter into a spark spread swap by a specific future date. If the net cash flows from the underlying swap are expected to be positive, then the option’s (swaption‘s) holder would choose to exercise his/ her right by entering into the swap by which he may receive the spark spread or the differential between natural gas and electricity.

Leave a Reply

Your email address will not be published. Required fields are marked *

Related Posts