Modified American style of option for swapping interest rates. Buyer of option has ability to enter an interest rate swap at a predefined date in the future, but must be within Bermuda swaption limitations and rules for exercising the swap.
Related information about Bermuda swaption:
- Bermuda Swaption Definition | Investopedia
A derivative financial instrument that gives the holder the right, but not the obligation, to enter into an interest rate swap on any one of a number of predetermined ...
- What is a Bermuda swaption?
Oct 16, 2008 ... The Bermuda swaption refers to a modified American style of option. A swaption is an option on an interest rate swap in which the buyer has ...
- Bermuda Swaption - Financial Dictionary - The Free Dictionary
An option in which the buyer of the option has the right to enter into to an interest rate swap on certain dates throughout the option's life. The terms of the ...
- Bermuda Swaption: Definition from Answers.com
Bermuda Swaption A swaption with predefined limitations on exercise. Investopedia Says : Like a Bermuda option, a Bermuda swaption can only be exercised.
- What is Bermuda swaption? definition and meaning
Definition of Bermuda swaption: Modified American style of option for swapping interest rates. Buyer of option has ability to enter an interest rate swap at a ...
- φnj - Risk.net
The simplest example is a Bermuda swaption. The underlying .... times Tn and beyond – ie, of the Bermuda swaption Hn–1, as specified in (6). 5.2 Monte Carlo ...
- Bermuda Option Definition - What is Bermuda Option?
... to a variety of underlying assets, however, this option type tends to be most frequently used with Forex and interest rate contracts (e.g. bermuda swaption).
- A Stochastic Volatility Model for Bermuda Swaptions and
the pricing of Bermuda swaption and callable CMS swaps. ... price for a 10Y payer Bermuda swaption, struck at a the rate reported on the abscissa, with ...