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Published September 8, 2020 | Version v1
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Pricing Interest Rate Bermudan Swaption

Creators

  • 1. TD

Description

An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction.

Notes

https://ia903404.us.archive.org/20/items/ir-bermudan-28/IrBermudan-archive.pdf

Files

IrBermudan-28.pdf

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