... ❚❤❡ ✜①❡❞ ❧❡❣ ✐s✿ n−p F ixedp,n (t) = Sp,n (t)δB(t, Tp+i ) i=0 ❆♥❞ t❤❡ ✢♦❛t✐♥❣ ❧❡❣ ✐s✿ n−p F loatingp,n (t) = B(t, Ti+p )δL(t, Ti−1+p ) i=1 n−p = B(t, Ti+p ) i=1 n−p B(t, Ti−1+p ) −1 B(t, Ti+p ... B(t, Tn ) ❚❤❡ s✇❛♣ r❛t❡ ✐s ❜② ❞❡✜♥✐t✐♦♥ t❤❡ ♦♥❡ t❤❛t ❡q✉❛❧✐③❡ ❜♦t❤ ❧❡❣s✿ F ixedp,n (t) = F loatingp,n (t) Sp,n (t) = B(t, Tp ) − B(t, Tn ) n−p i=0 δB(t, Tp+i ) ❚❤✐s s✇❛♣ ✇❛s ♠♦r❡ ♣r❡❝✐s❡❧② ❛ ... ❍❡♥❝❡✱ ❛♥ ❡①❛❝t ♣r✐❝❡ ❝❛♥ ❜❡ ❞❡r✐✈❡❞ ❛s ❢♦r t❤❡ ❝❛♣❧❡ts ✐♥ ▲▼▼✳ ❲✐t❤ str❛✐❣❤t❢♦r✇❛r❞ ♥♦t❛t✐♦♥s✿ q M SwaptionSM (t) p,q B(t, Ti )[Sp,q (t)N (d1 ) − κN (d2 )] = i=p+1 ✇✐t❤ d1,2 (t, Ti ) = ln((Sp,q (t)/κ)...