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Swaption Calculator
Swaption Calculator
This calculator uses Black (1976) Model for caculating the price of a European Swaption.
Swaption Notional $
Million
Exercise style
European
Swaption Type
Payer
Receiver
Swaption Start Date
Option End Date
Swap Start Date
Swap End Date
Swap Payments
Annual
Semi-Annual
Quarterly
Monthly
Swap Rate (Strike)
%
Forward Swap Rate
%
Swap Rate Volatility
% p.a.
Risk Free Rate
% p.a.
Swaption Price
%
Premium Amount $
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