Fairmat Example

Sunrise Swap is characterized, for Party A, by alternative scenarios that depends on the short term rate (e.g. EUR 3-Months Euribor). The payoff of Party A is a float / fixed rate minus an option with the underliying  the differential between a long-term swap rate and a medium (or short) term swap rate (e.g. 30-Years CMS rate and 10-Years CMS rate).

Attachments

Sunrise Swap Tempate Sunrise Swap Documentation