The co-terminal swaptions of a Bermudan are the European swaptions expiring on each of its exercise dates into the swap ending on its final date: the Europeans it can become.
Quantitative Finance · Glosarium
Quantitative Finance · Glosarium
The co-terminal swaptions of a Bermudan are the European swaptions expiring on each of its exercise dates into the swap ending on its final date: the Europeans it can become.