European swaption
The right to enter an interest-rate swap at a fixed rate agreed today, under one- and two-factor Gaussian rate models.
Greeks · 1
- 218.113
- per 1bp
Model values for illustration, from fixed market data. They are not quotes.
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On the exercise date the holder may enter a swap at the strike rate. A payer swaption pays the fixed rate and receives floating; a receiver swaption does the opposite.
G1++ moves the whole curve with one factor. G2++ has two, so short and long rates need not move together, which matters for long swaps.
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.
The Greeks
- DV01 per 1bp
- How much the value changes when the whole interest-rate curve shifts up by 1bp (0.01%).
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