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  • Cap and Swaption Calc

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    michele.nnang
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    This document summarizes the key terms of a swaption contract, including an underlying swap with a principal of $100, starting in 5 years and ending in 8 years with a rate of 6%. The pricing model used is Black-Scholes with a short rate volatility of 1% and reversion rate of 5%. The price of the swaption is $1.6127064 with a delta of 0.0096723 and gamma of 0.0031468.

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    This document summarizes the key terms of a swaption contract, including an underlying swap with a principal of $100, starting in 5 years and ending in 8 years with a rate of 6%. The pricing model used is Black-Scholes with a short rate volatility of 1% and reversion rate of 5%. The price of the swaption is $1.6127064 with a delta of 0.0096723 and gamma of 0.0031468.

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    © All Rights Reserved
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    23 views2 pages

    Cap and Swaption Calc

    Uploaded by

    michele.nnang
    This document summarizes the key terms of a swaption contract, including an underlying swap with a principal of $100, starting in 5 years and ending in 8 years with a rate of 6%. The pricing model used is Black-Scholes with a short rate volatility of 1% and reversion rate of 5%. The price of the swaption is $1.6127064 with a delta of 0.0096723 and gamma of 0.0031468.

    Copyright:

    © All Rights Reserved
    Download as XLS, PDF, TXT or read online from Scribd
    Flag for inappropriate content
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    of 2

    Swap / Cap Data Term Structure

    Underlying Type: Time (Yrs) Rate (%)


    Swap Option 1 6.000%
    Settlement Frequency: 2 6.000%
    Principal : 100 Semi-Annual
    3 6.000%
    Swap Start (Years): 5.00 4 6.000%
    Swap End (Years): 8.00 5 6.000%
    Swap Rate (%): 6.00% Imply Breakeven Rate

    Pricing Model:
    Normal - European

    Short-Rate Volatility (%): 1.00% Imply Volatility


    Reversion Rate (%): 5.00%
    Rec. Fixed

    Pay Fixed

    Price: 1.6127064
    DV01 (Per basis point): 0.0096723
    Gamma01 (Per %): 0.0031468
    Vega (per %): 1.5178812
    Graph Results
    Vertical Axis:
    Option price

    Horizontal Axis:
    Time to End

    Minimum X value 5.01


    Maximum X value 8.00

    2.5
    Option Price

    1.5

    0.5

    0
    5.01 5.51 6.01 6.51 7.01 7.51

    Swap End

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