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  • March 19, 2021
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Fixed-Tail Bermudan Swaption

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.


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