Partial Payoff Swap

Partial payoff swap pays periodically, the payoff from a particular European style put option on the spread between respective ten and two-year CMS rates. Moreover, this payoff is algebraically equivalent to the sum of the spread above and the payoff from a related European style put option.

Here one party must pay, semi-annually. Here S is a timing and convexity adjusted, forward swap rate; the forward swap rate, convexity and timing adjustments are respectively computed.

In addition the party receives period payments based on JPY Libor, which can be viewed as the payoff from a European style put option specified by

Note that the forward swap rate process above may be assumed to satisfy an SDE of the form under a corresponding forward swap measure; moreover, the forward swap rate will then not be log-normally distributed under the -forward probability measure.

Amortizing Floor Option

• Archive partial pdf
• gitbook three
• github inverse
• core bilateral pdf
• core bilateral