Swaption Calculator
With the Swaption Calculator, you can calculate interest swaps for options.
"General Contract Data" area
Element | Description |
|---|---|
Option maturity | Use the integrated calendar to select the maturity date of the options. |
Option model | Select the desired option model here - "Black 76" or "Bachelier". |
Strike price | Enter the strike price. |
Volatility in bp | Enter the volatility in basis points. |
Swaption type | Select the role for the calculation, that "payer" or "receiver". |
"Fixed" area
Element | Description |
|---|---|
Nominal amount | Enter the (fixed) nominal amount for the calculation. The nominal amount for "Fixed" and "Floating" remains unchanged. |
Currency | Select the (fixed) currency for the calculation. The currency for "Fixed" and "Floating" remains unchanged. |
Value date | Use the integrated calendar to specify the value date date of the calculation. The current date is set by default. |
Term to | Use the integrated calendar to specify the end date of the calculation. The default setting is the current date plus 10 years. |
Payment frequency | Select the payment frequency for the fixed interest payment. The following periods are available:
|
Day count convention | Select the day count convention for the fixed interest payment. The following periods are available for the day count convention:
|
"Floating" area
Element | Description |
|---|---|
Nominal amount | The nominal amount value of the calculation. The nominal amount for "Fixed" and "Floating" remains unchanged. |
Currency | The currency of the calculation. The currency for "Fixed" and "Floating" remains unchanged. |
Value date | The value date date selected in the "Fixed" area of the calculation. The current date is set by default. |
Term to | The end date selected in the "Fixed" area of the calculation. The default setting is the current date plus 10 years. |
Payment frequency | Select the payment frequency for the floating interest payment. The following periods are available:
|
Day count convention | Select the day count convention for the floating interest payment. The following periods are available for the day count convention:
|
"Valuation" area
Element | Description |
|---|---|
Premium amount | The resulting amount of the premium. The value is immediately calculated after you change the parameter. |