F Flashback New member Joined Jul 31, 2015 Messages 0 Reaction score 0 May 30, 2016 #21 rexthedog wrote: On the following question regarding the swaption where does the 2.23% calculation come from to deduce whether the swaption is ITM? Click to expand... Derived from given term structure of IR. You can calculate fixed swap rate on usual way: (1-z4)/(z1+z2+z3+z4)
rexthedog wrote: On the following question regarding the swaption where does the 2.23% calculation come from to deduce whether the swaption is ITM? Click to expand... Derived from given term structure of IR. You can calculate fixed swap rate on usual way: (1-z4)/(z1+z2+z3+z4)