4 equations on swaptions little, option

cfalevel2011

Receiver swaption = call option on bond
Callable bond = vanilla bond - call option
Payer swaption = put option on bond
Puttable bond = vanilla bond + put option

Now a little bit of algebra will tell you what you need to do to add/remove call/put

Analti_Calte

what's algebra?

susana

The answer depends on who is removing the call: bond issuer or bond holder?

strikethree

deriv108 Wrote:
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> The answer depends on who is removing the call:
> bond issuer or bond holder?


Tru dat.

My equations are from an investor's i.e. long perspective.