Published March 8, 2022
| Version v2
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Cancelable Swap Explained
Description
A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The price of the cancelable swap is sum of values of the swap and the option.
Notes
https://ia903401.us.archive.org/17/items/ir-cancelable-swap-29/IrCancelableSwap-archive.pdf
Files
Zenodo-IrCancelableSwap.pdf
Files
(97.7 kB)
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