Receiver Swaption Price
Posted by Gary Pai • Filed under Interest Rate Models, Derivatives Pricing
The calculation is based on Hull-White model with spot rate curve 0.1-0.05*exp(-0.2*t).
Tagged: Hull-White, Interest Rate Models, Swaption Calculator
• Dec 27, 2012 •
Methods
Derivatives Markets
- Stock Options
Including Exotic Options - Interest Rate Derivatives
Short Rate Model - Credit Derivatives
structural Models and Reduced Models