Bermudan swaption
A swaption the holder can exercise on any of several dates, valued on a PDE grid and by simulation.
- Exercise dates
- 4
Value on the PDE grid · Value
Solved on 2,047 points; 20 × 10 shown.
Greeks
This product has no closed form, so no Greeks are shown here.
Model values for illustration, from fixed market data. They are not quotes.
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The holder can exercise every year from the first exercise date until a year before the swap ends, into the remaining part of the swap.
Valuing it means deciding, at each date, whether exercising is worth more than waiting. There is no closed form, so it is valued on a PDE grid and by Monte Carlo simulation with a learned exercise rule.
What you can change
The contract terms above. Market data, model parameters and numerical settings are fixed for this demo and shown with each result.
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