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European Swaptions Template

Component

Resolution - Swap Pricing | Resolution - IRO Pricing

Brief

Use this template to value a European swaption. This template includes details for the underlying swap.

European Swaptions

Worksheet

Description

.

Swaption Setup

This sheet contains the input parameters and valuation results for the swaption.

Functions Used

oIRswpn_IV | oIRswpn_Map | oIRswpn_Price

Swap Setup

This sheet contains the input parameters and valuation results for the underlying swap.

Functions Used

oSWPir1_Price_FL | oSWPir1_Price_FX

Cashflows

This sheet contains a detailed breakdown of the cashflows for the deal.

Functions Used

oSWPir1_CFM_FL | oSWPir1_CFM_FX

Zero Curve

This sheet contains the zero curve and holidays list.

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