Thiruspace.com : SampleTopics : IR Swaps 11.2.2

IR Cap, Floor and Swaption Pricing and Risk

(An InterActive Model with Emphasis on Curve-Shifts and their Impact on Pricing/Risk)

Click on Product-Type to Book (Cap/Floor, Swap, Swaption)

Thiruspace.Com Option Type Rcv Pay BUY SELL Swaption Notional MM Strike Rate % ATM? Floor Strike % Swap Rate % FwdRate 0.00% Volatility % Reset Frequency SemiAnnual Quarterly Monthly Annually Year Basis Act/360 Act/365 Exercise Date mm/dd/yy Swap Maturity Date mm/dd/yy

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Strike Must be Numeric - Input as Rate Pct Exercise Date Must be A Date Between 12/1/2009 and 1/1/2031 Exercise Date Must be A Date Between 1/1/2010 and 1/1/2040 Swap Rate Must be Numeric - Input as Rate Pct Input Volatility as Percent Input Notional in Millions (MMs) Strike Rate required Swap Rate required Volatility required Swap Notional Must be Input Exercise Date Is Required Swap Maturity Date Is Required

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