Interest rate derivatives

RADISH · October 21st, 2003, 9:06 am

Looking for model to price swaptions, caps, floors. Would appreciate it if anyone could help me out here.Cheers.

robertral · October 21st, 2003, 11:40 am

Check out the books by Hull and Wilmott. They should give you a grounding and a direction.

RADISH · October 21st, 2003, 1:13 pm

Thanks Robert....already did. Was trying to save time, if someone had already prepared an excel sheet.

LongTheta · October 22nd, 2003, 7:37 am

The only book on derivatives with a spread sheet that I know of is Haug's book. I'm sure he has interest rate derivatives programmed too.

grabben · October 22nd, 2003, 10:49 am

Yes, Haug's book includes interest rate derivatives, however only Modified Black-76 for European Swaptions and the Vasicek for pricing Bonds and Bond options.

Darrell1977 · October 23rd, 2003, 3:59 pm

This is the VBA code to price a cap. Copy and paste it into the VBA editor, then you can use this function in Excel. It's very easy to implement and modify to price floors, swaptions...Hope this helps.Public Function Black76Call(F, X, r, tau, sigma)Dim DOne, DTwo, NDOne, NDTwoDOne = (Log(F / X) / (sigma * Sqr(tau)) + 0.5 * sigma * Sqr(tau))DTwo = (Log(F / X) / (sigma * Sqr(tau)) - 0.5 * sigma * Sqr(tau))NDOne = Application.NormSDist(DOne)NDTwo = Application.NormSDist(DTwo)Black76Call = (Exp(-r * tau) * (F * NDOne - X * NDTwo)) End Function

RADISH · October 24th, 2003, 9:18 am

Thanks a lot Darrell, ill try and work it today.cheers