A Bermudan swaption gives the right, on any one of a set of exercise dates , to enter the swap that starts on that date and ends on a fixed final date , at a fixed rate . A “ten-non-call-one” receiver Bermudan can be exercised every year from year one into a receiver swap ending at year ten. It is a Bermudan exercise right in the sense of One Quant Book 5, chapter 6, applied to swaps.
Quantitative Finance · المسرد