Component |
Resolution - Swap Pricing | Resolution - IRO Pricing |
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Brief |
Use this template to value a European swaption. This template includes details for the underlying swap. |
Worksheet |
Description |
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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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