|Price caps using Black option pricing model|
|Price floors using Black option pricing model|
|Strip caplet volatilities from flat cap volatilities|
|Strip floorlet volatilities from flat floor volatilities|
|Price European swaption instrument using Black model|
This example shows how to use two different methods to calibrate the SABR stochastic volatility model from market implied Black volatilities.
This example shows how to price a swaption using the SABR model.
This example shows how to price swaptions with negative strikes by using the Shifted SABR model.
Financial Instruments Toolbox™ computes prices for caps, floors, swaptions when modeling for negative interest-rates using functions.
Closed-form solutions for pricing caps and floors using the Black model.