Bermudan Swaption

To price a Bermudan swaption, users need to specify a valuation date, lockout (measured in years), tenor (measured in years), strike (in decimal), and whether it is payer or receiver.

The default yield curve used in the calculation is LEDS curve. Users can specify their own yield curves by providing rate inputs. Users may also request additional risk analytics other than the provided ones. Please contact us for more information.