A Bermudan swaption whose maturity date is set as the last reset date of the underlying swap. It is also subject to an initial lock-out period during which the option‘s exercise is not allowed. Thereafter, it becomes a normal Bermudan swaption: the option to exercise on the underlying swap can be exercised on every reset date of the swap up to and including the option’s expiration date.
January 21, 2025
