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Black Model

Calculate price for caps, floors, and swaptions using Black and Shifted Black models

Functions

capbyblkPrice caps using Black option pricing model
floorbyblkPrice floors using Black option pricing model
capvolstripStrip caplet volatilities from flat cap volatilities
floorvolstripStrip floorlet volatilities from flat floor volatilities
swaptionbyblkPrice European swaption instrument using Black model

Examples and How To

Concepts