Suppose pricing is conducted with a one-factor short rate model. Use the Jamshidian-decomposition to compute the generic
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Suppose pricing is conducted with a one-factor short rate model. Use the Jamshidian-decomposition to compute the generic price of a receiver swaption, expiring at T0, with tenor structure t < T0, . . . , TN and Δt = Tn − Tn−1.
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