Questions tagged [swaption]
The swaption tag has no usage guidance.
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Interpolation of volatility curve for Swaption
I have found volatility in the black model for swaption for different maturity (1-2-3-6-9M, 1Y, 18M, 2-10Y, 15-20-25-30Y) and Tenor (1-10Y, 15-20-25-30Y). Now I need another values (Maturity: 2, Tenor:...
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American Swaption Pricing with PDE discretization
So I am still trying to price an american swaption. (MC approach here: American Swaption Pricing with Monte-Carlo method)
I've found in Paul Wilmott, The mathematics of financial derivatives, a PDE ...
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American Swaption Pricing with Monte-Carlo method
I want to price an American swaption but I am not sure about what I am doing.
Tree methods and PDE discretization seem difficult to adapt to a swaption.
I am trying a Monte-Carlo approach. (in ...
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Weighted average implied optionlet/swaptions volatility
Let an implied volatility curve/surface is made up by optionlets or swaptions Black's implied volatility.
If you wanted to price, say, a FRN with cap and/or floor, a CMS et cetera you would input the ...
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Recalibrating SABR parameters for Swaption ATM volatility
I understand that the ATM volatility of Swaption moves quite frequently and the SABR will need to be recalibrated. Which parameter should I recalibrate?
Is there any financial meanings why we only ...
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Is Cubic spline Interpolation on swaption Volatility arbitrage free?
If I use interpolation technique such as cubic spline to estimate volatility of Swaption with different strike,(with a given forward rate, swap and option maturity) will this be arbitrage free? What ...
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European Swaptions: does implied volatility of swap rates decreases both with start and tenor?
Does implied volatility of swap rates decreases both with start and tenor?
Given a Swaption price and a discount curve I calculate the swap_rate from the curve, then
I define implied volatility as ...
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Is "Issuer and Holder with same strike" meaningless?
I've seen a callable putable bond whose first exercise date is an exercise date both for the holder and the issuer. Moreover both strikes have the same value: 100.
I wonder what does it mean.
I ...
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