The sample of swaptions used in the calibration of the DMBS term structure model has been updated and will be taken into production on
Friday, June 13, 2003
In particular the swaption sample used in the calibration has been expanded to include longer term swaptions.
This change in sample will increase the volatility in the long end of the model and the price effect will be most pronounced for long bonds which are out-of-the money.