European Swaption

To price a European swaption, users need to specify a valuation date, expiry (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.

In addition to a standard set of risk analytics produced, users may request other risk analytics. Please contact us for more information.