Assessing Moneyness in a Cancellable Fixed-for-Floating Swap

Summary

The document raises how to assess moneyness for a cancellable interest rate swap. The example is a position paying a fixed contract rate with the right to cancel, and it compares that contract rate with a quoted par coupon rate. The example supplies both rates but gives no market valuation, cash-flow schedule, or explanation of how cancellation rights affect the assessment.

Because no answer or method is included, the document does not establish whether the swap is in or out of the money, nor whose perspective should be used for that conclusion. A complete analysis would need to account for the swap’s terms and the value of the cancellation option, rather than relying on the rate comparison alone. The text is best treated as an unanswered question, not as guidance on valuing cancellable swaps.

Key ideas

• The question concerns moneyness for a cancellable swap in which the holder pays fixed and may cancel.
• It provides a contract rate and a par coupon quote, but no valuation method.
• The cancellation right is an option whose value is not analyzed in the document.
• The text does not answer whether the example swap is in or out of the money.

Tags

# Moneyness for Cancellable Swaps


# Moneyness for Cancellable Swaps












Hi I wanted to know we can assess the moneyness of Cancellable swaps?

For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the moneyness here?

From Bloomberg , Ihave the par coupon rate to be 2.4726% while contract rate is 1.84%

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