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volatility to premium for swaptions (Black76 model)

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volatility to premium for swaptions (Black76 model)



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

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% 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

Required Products Financial Derivatives Toolbox
Financial Toolbox
Fixed-Income Toolbox
Financial Instruments Toolbox
MATLAB release MATLAB 7.14 (R2012a)
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