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Re: Product Type 76T - Swaption

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Hi Vince,

 

SAP is not showing the strike for the options on swaps (swapations) in old system versions, as it is hard to determine the single strike value for the swapation, where the underlying product is for example exchange of two cash flows with two floating rates (e.g. you exchange LIBOR6M vs EURIBOR1M).

 

 

However, you can implement the SAP Note 1793254 that will show the strike of the swaption, whenever one leg is floating and one is fixed in underlying swap. In that case strike would be a fixed rate of the one of the cash flows.

 

 

 

Best regards,

Piotr Icha


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