Black Model

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

Price and analyze interest-rate instruments using a Black and Shifted Black model.

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

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.

How to Price Interest Rate Options with Negative Interest Rates (3 min 05 sec)