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