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Presentation . 2022
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Other literature type . 2022
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Cancelable Swap Explained

descriptionPublicationkeyboard_double_arrow_right Presentation , Other literature type 08 Mar 2022 English Publisher:Zenodo
Authors: Yang, Alex;

doi: 10.5281/zenodo.6492737 , 10.5281/zenodo.4019680

Cancelable Swap Explained

Abstract

A cancelable swap consists of a vanilla swap and a Bermudan option to cancel the remaining swap. The price of the cancelable swap is sum of values of the swap and the option.

https://ia903401.us.archive.org/17/items/ir-cancelable-swap-29/IrCancelableSwap-archive.pdf

Keywords

Cancelable swap, interest rate swap, Bermudan swaption, swaption, LGM model, valuation, pricing model

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
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