Price Using Closed-Form Solutions
Determine price for caps, floors, swaptions, agency callable bonds, and bond futures using closed-form solutions
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