Whats the issue if we try to price a swaption with a negative strike using Black model?

  • $\begingroup$ In this case, there is no optionality, and the valuation becomes trivial. $\endgroup$
    – Gordon
    Commented Jun 17, 2020 at 18:31
  • 1
    $\begingroup$ And mechanically, you will also have log of a negative number in the d_i's, so the calculator is going to scream. $\endgroup$ Commented Jun 17, 2020 at 18:41


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