volatility to premium for swaptions (Black76 model)
% This function determines the matrix of swaption premiums
% and the corresponding ATM par rates. The structure of the output
% is identical to the Volatility surface matrix V, which is assumed
% to be 10y X 10y of Expiry X Maturity.
% It is assumed single curve discounting and 1,000 notional.
%
% input
% Curve : interest rate curve object
% V : volatility matrix
% Period : frequency of payments of the underlying swaps
Cite As
fpexp2 (2024). volatility to premium for swaptions (Black76 model) (https://www.mathworks.com/matlabcentral/fileexchange/41566-volatility-to-premium-for-swaptions-black76-model), MATLAB Central File Exchange. Retrieved .
MATLAB Release Compatibility
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- Computational Finance > Financial Toolbox >
- Computational Finance > Financial Toolbox > Price and Analyze Financial Instruments >
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Version | Published | Release Notes | |
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1.0.0.0 |