Bermudan Swaption
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05.09.2021
Co-author
Affiliation
BMO
Main category
Economics (Finance)
Abstract
An interest rate Bermudan swaption gives the holder the right but not the obligation to enter an interest rate swap at predefined dates. It is one of the fundamental ways for an investor to enter a swap. Comparing to regular swaptions, Bermudan swaptions provide market participants more flexibility and control over the exercising of an option and less restriction.
Further information
Further reading
https://finpricing.com/lib/EqWarrant.html
Language
English
DOI
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