Caplet Price

Posted by Szu-Yu (Gary) Pai  •  Filed under Interest Rate Models, Derivatives Pricing

Caplet Price

Input:
Princial
Start time for caplet (t1)Years
End time of caplet (t2)Years
Discount factor from t0 to t2
Forward rate from t1 to t2
Strike rate for caplet
Volatility of forward rate (annulized)
Output:
Caplet Price

The calculation is based on Black-76 model.

Tagged: Black-76, Interest Rate Models, Caplet Calculator

 •  Dec 12, 2012  • 

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