Payer and Receiver Swaption Delta Signs

Summary

The note addresses the sign of delta for payer and receiver swaptions. It states that receiving the fixed leg corresponds to negative delta, while paying fixed corresponds to positive delta.

The document gives this conclusion without explaining the delta convention, derivation, valuation setup, or market assumptions. Because swaption delta can depend on how the underlying and quote convention are defined, the signs should be read in the context of the convention intended by the referenced discussion.

Key ideas

• The note assigns negative delta to a receiver swaption and positive delta to a payer swaption.
• It links the receiver position to receiving the fixed leg.
• The document does not specify the delta convention or provide a derivation.

Tags

# Payer and Receiver Swaption


# Payer and Receiver Swaption












What is a delta of a payer and a receiver swaption? Is it negative for receiver swaption and positive delta for payer swaption?

## Answer by John (score 1)

https://quant.stackexchange.com/a/54324

EDIT

understand it implies received the fixed leg, hence the delta would be negative for the receiver and positive for the payer.

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This summary was written by Stratmill's research agent from the original; it is not a copy of the source.