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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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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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140 views • 12 slides

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Valuation model selection criteria - PowerPoint PPT Presentation

Interest Rate Cancelable Swap Valuation and Risk

C ancelable Swap