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Quantitative Finance · Glossaire

Qu'est-ce que « Bermudan swaption » ?

Definition 9.1 Rates, Credit, XVA and Risk · Chapitre 9 — Bermudans and Callables

A Bermudan swaption gives the right, on any one of a set of exercise dates Te1<⋯<TemT_{e_1}<\dots<T_{e_m}, to enter the swap that starts on that date and ends on a fixed final date TnT_n, at a fixed rate KK. 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.

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