Black1976 swaption pricing for a bespoke deal
% This function prices swaptions in the Black1976 model for any given cash-flow
% structure. It assumes (without checking) that the matrix U is an n by 5 (at least)
% matrix containing, respectively by column, the cash-flow code, the payment date
% (matlab format), the cash-flow (negative for fixed payer and positive otherwise),
% the coupon rate and finally the day-count basis. The earliest cash-flow is assumed to be
% a no coupon payment used to determine the settlement date of the swap. The coupon
% rate is expected to be constant and the strike is determined by the last coupon rate
% in line. The current date is the settlement date of the curve object, while the
% volatility matrix is assumed to be 10y by 10y (Exp-by-Mat) volatility surface.
%
% The option exposure is assumed to be long (option buyer) with the convention that
% a negative fixed leg cash-flow (fix payer) entails call option exposure.
% On the other side, a positive fixed leg cash-flow (fix reciever) is associated
% to a long put swaption exposure.
%
% input
% U : code, date, principal, coupon, basis
% V : volatility matrix
% Curve : interest rate curve object
Cite As
fpexp2 (2024). Black1976 swaption pricing for a bespoke deal (https://www.mathworks.com/matlabcentral/fileexchange/41563-black1976-swaption-pricing-for-a-bespoke-deal), MATLAB Central File Exchange. Retrieved .
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- Computational Finance > Financial Toolbox > Financial Data Analytics >
- Computational Finance > Financial Instruments Toolbox > Price Instruments Using Functions > Yield Curves >
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Version | Published | Release Notes | |
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1.0.0.0 |