Swap Option (Swaption) with Flat LIBOR Rate

Posted by Fred

Input:
Tenor of Swap
Swap start (years)
m payments per year
LIBOR rate with annual compounding %
Fixed rate in swap %
Principle
Volatility of forward swap rate %
Output:
Price of Swap Option

The calculation is based on Assuming the LIBOR yield curve is flat

Tagged: Swap Option Calculator, LIBOR Rate, Swaption calculator

 •  Jun 1, 2014  • 

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