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Practical Guide for Pricing Interest Rate Bermudan Swaption

Practical Guide for Pricing Interest Rate Bermudan Swaption

An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction.<br><br>Given those flexibilities, a Bermudan swaption is more expensive than a regular European swaption. In terms of valuation, it is also much more complex. This presentation provides practical details for pricing cancelable swaps. You find more information at http://www.finpricing.com/lib/IrBermudan.html

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Interest Rate Cancelable Swap Valuation and Risk

Interest Rate Cancelable Swap Valuation and Risk

A cancelable swap provides the right but not the obligation to cancel the interest rate swap at predefined dates. Most commonly traded cancelable swaps have multiple exercise dates. Given its Bermudan style optionality, a cancelable swap can be represented as a vanilla swap embedded with a Bermudan swaption. Therefore, it can be decomposed into a swap and a Bermudan swaption. Most Bermudan swaptions in a bank book actually come from cancelable swaps. Cancelable swaps provide market participants flexibility to exit a swap. This additional feature makes the valuation complex. This presentation provides practical details for pricing cancelable swaps. You find more information at http://www.finpricing.com/lib/IrCancelableSwap.html

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190 views • 12 slides
C ancelable Swap

C ancelable Swap

Interest Rate C ancelable Swap Valuation and Risk Dmitry Popov FinPricing http: //www.finpricing.com. C ancelable Swap. Summary C ancelable Swap Definition Bermudan Swaption Payoffs Valuation Model Selection Criteria LGM Model LGM Assumption LGM calibration Valuation Implementation

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