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