| Category: Excel |
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 Caplet pricing using Black's formula |
| Submitter: vanna |
Date: 2008/2/2 |
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Description:
This file calculates caplet price using Black's formula  where  and  Input parameters are: Principal amount Start time for caplet (Yrs) Tk End time of caplet (Yrs) Tk+1 Discount factor from t0 to Tk+1 [P(0,Tk+1)] Forward rate Fk applicable from Tk to Tk+1 Strike rate for caplet Rk Volatility of forward rate Fk (annualized)
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2184  0 bytes  Excel VBA  http://www.quantcode.com/ |
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