Documentation

This is machine translation

Translated by Microsoft
Mouseover text to see original. Click the button below to return to the English verison of the page.

Note: This page has been translated by MathWorks. Please click here
To view all translated materals including this page, select Japan from the country navigator on the bottom of this page.

Black Model

Calculate price for caps, floors, and swaptions using Black and Shifted Black models

Functions

capbyblkPrice caps using Black option pricing model
floorbyblkPrice floors using Black option pricing model
capvolstripStrip caplet volatilities from flat cap volatilities
floorvolstripStrip floorlet volatilities from flat floor volatilities
swaptionbyblkPrice European swaption instrument using Black model

Examples and How To

Calibrate the SABR Model

This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Black volatilities.

Price a Swaption Using the SABR Model

This example shows how to price a swaption using the SABR model.

Price Swaptions with Negative Strikes Using the Shifted SABR Model

This example shows how to price swaptions with negative strikes by using the Shifted SABR model.

Concepts

Work with Negative Interest Rates

Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates.

Interest-Rate Derivatives Using Closed-Form Solutions

Closed-form solutions for pricing caps and floors using the Black model.

Was this topic helpful?