Bermudan Swaption example

[Henri de Maupas]

In the example, i would like to know what is the
settlementDate variable. Is it the entering date in
the swap contract ?
I suppose it is connected to the settlementDays
variable, but, in the example, 15 fev & 19 fev doesnt
equal 2 days... Can you explain me the role of that
variable.
THX

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[Luigi Ballabio-2]

Hi,

At 11:54 AM 5/5/03 +0200, Henri de Maupas wrote:
>In the example, i would like to know what is the
>settlementDate variable. Is it the entering date in
>the swap contract ?

It is the date at which the NPV is calculated and the premium is paid.

>I suppose it is connected to the settlementDays
>variable, but, in the example, 15 fev & 19 fev doesnt
>equal 2 days... Can you explain me the role of that
>variable.

15 feb 2002 -> 19 feb 2002 = 2 business days (there's a weekend in between)

Bye,
         Luigi