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New cash settlement method for swaptions: Collateralized cash price #1902

merged 2 commits into from
Mar 6, 2019


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Method is now standard convention for EUR swaptions

* The Collateralized Cash Price
* <p>
* The settlement amount is computed with the discount factor based where the parties are deemed to have a
* bilateral, zero-threshold ISDA CSA. (ISDA definition 18.3 (g)
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Can we use the format "Defined by the 2006 ISDA definitions 4.16a."

@jodastephen jodastephen merged commit 649f4d1 into master Mar 6, 2019
@delete-merged-branch delete-merged-branch bot deleted the topic/swpt-collat-cash branch March 6, 2019 16:06
@jodastephen jodastephen added this to the v2.3 milestone Apr 24, 2019
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3 participants