Published September 19, 2020
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Interest Rate Swaption Product and Valuation Practical Guide
Description
An interest rate swaption or interest rate European swaption is an OTC option that grants its owner the right but not the obligation to enter an underlying interest rate swap. There are two types of swaptions: a payer swaption and a receiver swaption.
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https://ia801500.us.archive.org/23/items/ir-swaption-37/IrSwaption-37.pdf
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IrSwaption-37.pdf
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