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Swaptions Template

Component

Resolution - IRO Pricing

Brief

Use this sheet to value an American, Bermudan or European swaption using one of several trinomial tree models.

Swaptions

Worksheet

Description

.

Swaption

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

Functions Used

oIRswpn_BDT1 | oIRswpn_BDT2 | oIRswpn_HL | oIRswpn_HW | oIRswpn_BK

Curves

This sheet contains the zero curve, the volatility and the holidays list.

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