Callable Credit Default Swap

Derivatives
Using The Black-Scholes Model To Price Floorlets
August 27, 2021
Finance
Term Repo
August 28, 2021

A variant on cancellable credit default swap where the protection buyer has the right to unwind the swap contract at any time or on a specific date before expiration. The swap structure can be split into its basic components, literally a credit default swap (CDS) and an embedded receiver default swaption, with corresponding strike price and exercise date.

Leave a Reply

Your email address will not be published. Required fields are marked *

Related Posts