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Swaptions

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

Function Suffix

Description

 

.

 

_Price

Calculates the fair value and greeks of the swaption.

 

_Map

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

 

_IV

Calculates the implied volatility of the swaption.

 

_BDT1

Uses the Black-Derman-Toy model

 

_BDT2

Uses the Black-Derman-Toy model

 

_HL

Uses the Ho and Lee model

 

_HW

Uses the Hull and White model

 

_BK

Uses the Black and Karansinski model

 

 

 

 

In This Section

Background to Swaptions

Swaption Functions

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