Black76 Caplet Price
quantlib-pricing
Black76 Caplet Price
Price an interest rate caplet using the Black76 model. A caplet is a call option on an interest rate that pays off when the reference rate exceeds the strike rate.
Payoff: max(L - K, 0) × τ × N × DF
Where:
- L = realized LIBOR/forward rate
- K = strike rate
- τ = accrual period (t_end - t_start)
- N = notional
- DF = discount factor
Use Cases:
- Price interest rate caps (sum of caplets)
- Hedge floating rate exposures
- Value borrower’s protection against rate increases
- Structure interest rate derivatives
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
POST
Black76 Caplet Price
Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Forward interest rate for the period (decimal format)
Example:
0.03
Strike rate of the caplet/floorlet (decimal format)
Example:
0.035
Discount factor to present value
Example:
0.95
Annualized volatility of the forward rate (decimal format)
Example:
0.2
Start time of the accrual period in years
Example:
1
End time of the accrual period in years
Example:
1.25
Notional amount
Example:
1000000