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Quantitative Finance · Begrippenlijst

Wat is Co-terminal swaption?

Definition 9.2 Rates, Credit, XVA and Risk · Hoofdstuk 9 — Bermudans and Callables

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.

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