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Each of the swaption functions has a function name of oIRswpn followed by one of the following suffixes:

Function Suffix






Calculates the fair value and greeks of the swaption.



Returns the required inputs for the oIRSwpn_Price( ) and oIRSwpn_IV( ) functions, as a table consisting of three columns; Notional, tenor, and Discount Factor.



Calculates the implied volatility of the swaption.



Uses the Black-Derman-Toy model



Uses the Black-Derman-Toy model



Uses the Ho and Lee model



Uses the Hull and White model



Uses the Black and Karansinski model





In This Section

Background to Swaptions

Swaption Functions

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