A swaption is an option on a swap. For each swaption instrument, we therefore need to fully define the underlying swap that will be entered into if the swaption is exercised. The European swaption pricing function can be used with any of the supported swap types as the underlying asset. In order to achieve this, we leave the calculation of some of the swaption parameters to the swap functions themselves. This significantly reduces the number of parameters required by the swaption functions.
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The following steps are needed to value any swaption: |
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In This Section oIRswpn_Price( ) - Interest Rate Swaption Price Function oIRswpn_Map( ) - Interest Rate Swaption Map Function oIRswpn_IV( ) - Interest Rate Swaption Implied Volatility Function |
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