Financial Toolkit : European Swaption By BDT Model

Input
BDT mode
Initial zero (spot rate) curve
Term in years No of steps
Year 1 2 3 4 5
Rates in %
Short rate volatility curve (not to be confused with the volatility of the initial zero rate)
Year 1 2 3 4
Volatilities in %
European Swaption
Type1 Time to maturity in yrs
Swap
Payment Freq Time to maturity in yrs
1 Payer swaption means pay fixed and receive floating. Receiver swaption is the other way round.
If date/timeStepSize is not an integer, then the time index of date is set to the integer closest to date/timeStepSize.
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