In Hyper-threading (or SMT) when two threads of a CPU core gets swapped in and out, does a context-switch occur.
Would it be called a context switch?, if not what is the terminology for it.
...Would it be called a context switch?
There is no "it" there.
A thread's context consists of the contents of all of the hardware registers that the OS must save to memory when suspending execution of the thread and which, the OS must load back into hardware registers in order to resume execution of the thread. "Context switch" is what we call it when the operating system suspends the thread that currently is running on a certain CPU, and then resumes a different thread on the same CPU.
A hyperthreaded/SMT CPU has more than one set of context registers. As mentioned in comments by Peter Cordes and www, it can concurrently execute instructions on behalf of two or more threads without any context switching. (That is to say, without any saving of register contents to memory and restoring register contents from memory.) The hyperthreaded/SMT CPU behaves as if it was two or more, separate logical CPUs, and it's those separate logical CPUs that are the target of context switches that are performed by the operating system.
P.S., The motivation for "hyperthreading" is that the logical CPUs share some hardware resources, and on average they perform almost as well as if they were entirely independent of each other, but they occupy a considerably smaller footprint on the silicon than the same number of fully independent CPUs would occupy.