Definition of Swaptions. Meaning of Swaptions. Synonyms of Swaptions

- of swaptions, analogous to exotic options. These can involve bespoke exercise rules, or a non-constant swap notional. The valuation of swaptions is complicated...
- and swaptions is useful primarily for calibration. The real use of the model is to value somewhat more exotic derivatives such as bermudan swaptions on...
- referred to as a bespoke IRS (or customised IRS). Bermudan swaptions are examples of swaption extensions that qualify as exotic variants. Other products...
- prices. This does not allow for ****ing options like caps, floors and swaptions as the parameters have been used to fit linear instruments instead. This...
- on ****ure contracts, bond options, interest rate cap and floors, and swaptions. It was first presented in a paper written by Fischer Black in 1976. Black's...
- derivatives (swaps, caps, floors) Interest rate Swaption Bermudan swaptions Cross currency swaptions Power Reverse Dual Currency note (PRDC or Turbo)...
- Interest rate options Currency cross rate options, and Options on swaps or swaptions. By avoiding an exchange, users of OTC options can narrowly tailor the...
- exotic derivatives like Bermudan swaptions, ratchet caps and floors, target redemption notes, autocaps, zero coupon swaptions, constant maturity swaps and...
- SSRN Pedersen, Claus M. (2003). "Valuation of Portfolio Credit Default Swaptions". Lehman Brothers Quantitative Credit Research. Brigo, Damiano and M****imo...
- model is a short-rate model widely used in the pricing of bond options, swaptions and other interest rate derivatives, and in modeling ****ure interest rates...