Main category
Economics (General Management)
Abstract
The underlying security of a single currency Bermudan swaption is an interest-rate swap, which is specified by respective payer and receiver legs. Each of the legs above can pay a fixed rate, Libor or CMS rate. The owner of the Bermudan swaption can choose to enter into the swap above at certain pre-defined exercise times; upon exercise, the owner
• must pay all payer-leg quantities that reset on or after the exercise time, and
• will receive all receiver-leg quantities that reset on or after the exercise time.
Further reading
https://ia601404.us.archive.org/17/items/bermudan-swaption/BermudanSwaption.pdf
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