Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

This is my first time using Black76 to value options on IR futures and I have a question on $F$ and $K$.

I understand the price for an IR future is usually quoted as $100 - r$. Do I use this price as $F$ in Black76 or do I have to use $r$ and also convert the strike $K$ to an interest rate?

If I have to use interest rates for $F$ and $K$, how should I treat negative rates i.e. strike prices greater than 100?

share|improve this question

I've ended up implementing a different model for -ve rates. I've used Bachelier's (Guassian) model that allows negative values. Most of the IR futures options are short-dated so model differences are within my tolerance.

share|improve this answer

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.