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Variable Maturity Swaps

Each of the variable maturity swap functions has a function name of oIRvmswap followed by one of the following suffixes:

Function Suffix

Description

 

.

 

_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 Variable Maturity Swaps

Variable Maturity Swaps Functions

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