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Variable Maturity Swaps Template

Component

Resolution - IRO Pricing

Brief

Use this template to value a variable maturity swap using one of several trinomial tree models.

Variable Maturity Swaps

Worksheet

Description

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Variable Maturity Swap

This is the main sheet of the template, and is where the results will be displayed.

Functions Used

oIRvmswap_BDT1 | oIRvmswap_BDT2 | oIRvmswap_HL | oIRvmswap_HW | oIRvmswap_BK

Curves

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

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