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by gibran05
March 12th, 2013, 6:01 pm
Forum: Technical Forum
Topic: Future Value of a Swaption Using Black Formula
Replies: 9
Views: 11298

Future Value of a Swaption Using Black Formula

<t>Hello, Sorry if it seems sillyUsing a Black formula to value a swaption at time 0, if I want to have the value of the swaption at time t, I just need to capitalize the value of the swaption (i.e. dividing by DF(0,t)) to get the Df(0,ti)*(ti ? ti-1) at the right date and changing the time paramete...