A Payoff Consistent Approach to Cash-Settled Swaptions and CMS Replication
European interest rate markets use cash-settlement (CS) for swaptions, the main interest rate volatility instrument. In the market only at-the-money (ATM) straddles and out-of-the-money (OTM) payers/receivers are liquidly quoted and usable as calibration instruments. As a result all ITM payer/receiv...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2014
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3702 |
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| Institution: | Singapore Management University |
| Language: | English |