-Scholes result. We show that a swaption pricing formula is nothing more than the Black-76 formula scaled by the underlying swap … discuss how to evaluate and price an interest swap, which is the swaption underlying instrument. We proceed to examine how to …

and the optimal exercise strategies in terms of swap rates for both fixed-rate payer and receiver swaps. Finally, we show …

This paper models the month-over-month change in euro-denominated (EUR) long-term interest rate swap yields. It shows … EUR swap yields of different maturity tenors, after controlling for various macroeconomic and financial variables, such as … in EUR swap yields and their volatility. The results of the estimated models of EUR swap yields of different maturity …