Swap Option (Swaption) with flat LIBOR rate

Posted by Fred

A 3-year swap starting in 5 years and payments are made semiannually

LIBOR rate with annual compounding %
Fixed rate in swap %
Volatility of forward swap rate %
Price of Swap Option

The calculation is based on Assuming the LIBOR yield curve is flat

Tagged: Swap Option Calculator, LIBOR Rate, Swaption calculator

 •  May 18, 2014  • 

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