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Black Model

Calculate price for caps, floors, swaptions using Black model


capbyblk Price caps using Black option pricing model
floorbyblk Price floors using Black option pricing model
capvolstrip Strip caplet volatilities from flat cap volatilities
floorvolstrip Strip floorlet volatilities from flat floor volatilities
swaptionbyblk Price 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.


Interest-Rate Derivatives Using Closed-Form Solutions

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

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