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Quant版 - Black Model to valuate swaption value
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话题: black话题: model话题: valuate话题: swaption话题: rate
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1 (共1页)
p********0
发帖数: 186
1
Hi,
I am using simulation to estimate the swaption value.
I have 500 unique paths of short rate over the next 10 years.
I am trying to use the Black model the valuate the 1 year into 1 year
european option.
In order to use the Black model, I need to figure out the Forward swap rate
volatility.
For each path, The forward swap rate can be backed from FSR(1, 2) = D(0, 1)
- D(0, 2)/Annuity(0, 1, 2).
Since I have short rate for time1, time2, so I can easily get the D(0,1)=EXP
(-AVG(r0, r1)*1). So I c
d****2
发帖数: 109
2
可以把摸拟PATH的时间间隔改为半年
1 (共1页)
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