Results 1 to 2 of 2

Math Help - Value of swap in swaption

  1. #1
    Newbie
    Joined
    Nov 2008
    From
    finland
    Posts
    9

    Value of swap in swaption

    Hi!
    What is the value of the underlying swap cash settlement in a swaption where strike is K, market swap rate is S, yearly payments and maturity of swap is M?

    -Kim-
    Follow Math Help Forum on Facebook and Google+

  2. #2
    Newbie
    Joined
    Nov 2008
    From
    finland
    Posts
    9
    Got it

    payer swap:
    V=max([1-d(0,T)-k*sum(d(0,t))]*N , 0)

    receiver swap:
    V=max([(1+k)*d(0,T)+k*sum(d(0,t))-1]*N , 0)

    k=strike
    d(0,t)=discount rate (0,t).
    N=notional principal

    ...
    Follow Math Help Forum on Facebook and Google+

Similar Math Help Forum Discussions

  1. Partner Swap Tournament
    Posted in the Discrete Math Forum
    Replies: 0
    Last Post: January 13th 2011, 04:15 AM
  2. Payoff of cash settled receiver swaption!!
    Posted in the Business Math Forum
    Replies: 0
    Last Post: February 11th 2009, 06:08 AM

Search Tags


/mathhelpforum @mathhelpforum