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Thanks a lot for your time David, I am new at swaption so, I'm trying to understand this. The exercise I want to solve is Suppose that the LIBOR yield curve (which we assume is used for discounting) is flat at 6% per annum with continuous compounding. Consider a swaption that gives the holder the right to pay 6.2% in a 3-year swap starting in 5 years. The ...


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Swaption vol can have 3 dimensions: option expiry, underlying tenor and strike. In your example, if nothing is said, then it's probably ATM (at the money) volatility which means it's the vol for a Swaption with a strike equal to the forward of the underlying. So if you only have a surface, and not a cube, you probably don't have exactly the information ...


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