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Price Using Closed-Form Solutions

Determine price for caps, floors, swaptions, agency callable bonds, and bond futures using closed-form solutions

Use different interest-rate models and a closed-form solution to price and analyze an interest-rate instrument.

Categories

  • Black Model
    Calculate price for caps, floors, and swaptions using Black and Shifted Black models
  • Normal Model
    Calculate price for caps, floors, swaptions for negative rates using Normal (Bachelier) model
  • SABR Model
    Calculate implied volatility and option sensitivities using SABR and Shifted SABR models
  • Agency OAS Models
    Calculate price and spread for Agency OAS
  • Bond Futures
    Calculate price and implied repo rate for bond futures