标题: Quick formula to calculate SWAPTION on Mock 2012 [打印本页] 作者: bchadwick 时间: 2013-4-19 04:07 标题: Quick formula to calculate SWAPTION on Mock 2012
Normally to calculate swap I would go step by step, PV of fixed payment , PV of floating payment
In question 43 to calculate RECEIVER SWAPTION, can anyone please explain the rationale for it, especially why they subtract 0.969 from return of index (15%)?
P/S: Do you usually do quick way like this or you would go step by step to make sure you dont miss anything ( but chance of mistake increase)作者: kasinkei 时间: 2013-4-19 04:07
Oh thanks. But I thought equity return is considered Floating rate?作者: needhelp1700 时间: 2013-4-19 04:08
oh ok, i meant that there wasn’t the traditional floating thing, it was an equity return.
The equity return is just the fraction, nothing else, just the single term
