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Reversible Swap

A swap in which one side has an option to alter the payment basis (fixed/floating) after a certain period. This is usually achieved by the use of a swaption, allowing the purchaser the opportunity to enter a swap with payment on the opposite basis. The swaption would be for twice the principal amount, one half of which nullifies the original swap.


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Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.