File Exchange

image thumbnail

volatility to premium for swaptions (Black76 model)

version 1.0 (1.75 KB) by

This function convert ATM volatility surface into swaption premiums and par rates.



View License

% 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

Comments and Ratings (0)

MATLAB Release
MATLAB 7.14 (R2012a)
Tags Add Tags

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video

Win prizes and improve your MATLAB skills

Play today