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Articles relating to interest rate swaptions

Fully Functional Excel Spreadsheet for SOFR Swaption Trading with Lognormal, Normal and Shifted Lognormal SABR Vol Calibration

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Setting up an interest rate swaption trading desk is a complex endeavour. First, the type of the underlying interest rate should be defined, and it can be either a still existing ibor rate such as EURIBOR or JPY TIBOR or – in the case of LIBOR that has been discontinued as of June 30, 2023 - an equivalent ARR (Alternative Reference Rate) such as a ...
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USD Swaption Pricing in Excel using SABR Stochastic Volatility and Market Vol Cube from CME

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The pricing of exotic interest rate products cannot ignore the so called market volatility cube that is made daily available by several swaption brokers.Traders often use the SABR Stochastic volatility model in order to estimate vols off the provided grid.In this article I will show you how to price an out-of-the-money swaption by applying SABR cal...
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USD Swaption Pricing in Excel using the Bachelier Model and Market Normal Vols from CME

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The Chicago Mercantile Exchange (CME) clears European swaption trades on 3-month USD LIBOR since April 2016 and has thus become the first major exchange that lists Over-The-Counter (OTC) interest rate products with optionality.The standardized swaption contracts have 5 different expiries - 1M, 3M, 6M, 1Y, 2Y – and 7 underlying swap tenors - 1Y, 2Y,...
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21282 Hits
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Swaption Pricing in Excel: 14 Free QuantLib Models plus Implied Volatility Surface and Cube

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Most people are unaware of the fact that free and open source QuantLib comes with a great variety of modelling approaches when it comes to pricing an interest rate European swaption in Excel that surpasses what is offered by expensive commercial products.In fact, 14 different modelling approaches are implemented, whereby the Black approach does not...
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18048 Hits
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