Price Using Closed-Form Solutions

Determine price for caps, floors, swaptions, agency callable bonds, and bond futures using closed-form solutions
  • Black Model
    Calculate price for caps, floors, swaptions using Black model
  • SABR Model
    Calculate implied volatility and option sensitivities using SABR model
  • Agency OAS Models
    Calculate price and spread for Agency OAS
  • Bond Futures
    Calculate price and implied repo rate for bond futures
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