Black76 Swaption Price
quantlib-pricing
Black76 Swaption Price
Price a European swaption using the Black76 model. A swaption is an option to enter into an interest rate swap.
Types:
- Payer Swaption: Right to enter a swap as fixed-rate payer (benefits when rates rise)
- Receiver Swaption: Right to enter a swap as fixed-rate receiver (benefits when rates fall)
Use Cases:
- Price exchange-traded and OTC swaptions
- Hedge future swap positions
- Manage interest rate exposure for future borrowings
- Value embedded options in callable/putable bonds
Tier: Standard (2 credits/request) [Tier: PRO, Credits: 5]
POST
Black76 Swaption Price
Authorizations
API key for authentication. Get your key at https://api.fincept.in/auth/register
Body
application/json
Forward swap rate (decimal format)
Example:
0.04
Strike rate of the swaption (decimal format)
Example:
0.045
Present value of a basis point (PVBP) or annuity
Example:
4.5
Annualized swap rate volatility (decimal format)
Example:
0.18
Time to expiration in years
Example:
2
True for payer swaption, false for receiver swaption
Example:
true
Notional amount
Example:
1000000