Black Model
The Black model assumes that the forward rates or futures prices follow a log-normal distribution. Price and analyze interest-rate instruments using a Black and Shifted Black model with the following functions:
Functions
capbyblk | Price caps using Black option pricing model |
floorbyblk | Price floors using Black option pricing model |
capvolstrip | Strip caplet volatilities from flat cap volatilities |
floorvolstrip | Strip floorlet volatilities from flat floor volatilities |
swaptionbyblk | Price European swaption instrument using Black model |
Topics
- Calibrate the SABR Model
This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Black volatilities.
- Price a Swaption Using the SABR Model
This example shows how to price a swaption using the SABR model.
- Price Swaptions with Negative Strikes Using the Shifted SABR Model
This example shows how to price swaptions with negative strikes by using the Shifted SABR model.
- Work with Negative Interest Rates Using Functions
Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates using functions.
- Interest-Rate Derivatives Using Closed-Form Solutions
Closed-form solutions for pricing caps and floors using the Black model.
