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swaption |
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Swaption Options on interest rate swaps. The buyer of a swaption has the right to enter into an interest rate swap agreement by some specified date in the future. The swaption agreement will specify whether the buyer of the swaption will be a fixed-rate receiver or a fixed-rate payer. The writer of the swaption becomes the counterparty to the swap if the buyer exercises.
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also referred to as the BGM Model in industry, is an interest rate model used for the pricing of interest rate derivatives, especially exotic derivatives like Bermudan swaptions. also referred to as the BGM Model in industry, is an interest rate model used for the pricing of interest rate derivatives, especially exotic derivatives like Bermudan swaptions. also referred to as the BGM Model in industry, is an interest rate model used for the pricing of interest rate derivatives, especially exotic derivatives like Bermudan swaptions. |
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