# Questions tagged [black]

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### Pricing a zero coupon callable bond

Suppose I have a 20-year zero bond with a call date in 10 years and a zero interest rate of 2%, which is currently valued at a Z-spread of 100. Now I would like to evaluate the right of termination ...
876 views

### Delta of Black formula vs numerical

I coded the Black formula (1976) to price a call where the underlying is a forward. I tested it against other sources and it works fine. I then calculated the delta which, from my derivation and what ...
1 vote
247 views

### Question on boundary conditions when using Finite Difference

I have two questions appearing to me (they are not related directly to each other). My first question is about boundary conditions when using Finite difference methods. There are two ways to do it: a)...
• 13
106 views

### Black Standard Deviation in QuantLibXL

I was having a doubt about a fucntion in the QuantLib add-on for excel. What is the formula for the function: qlBlackFormulaImpliedStdDev(...) I know that there ...
94 views

1 vote
82 views

### In building volatility curve for etf options, should I use synthetic forward price or cash price

Assuming option market moves faster than ETF cash price in intraday high frequency setting. That means at each time point, when implied volatility is calculated by black-schole model by using cash ETF ...
• 121
1 vote
98 views

### Caplet price under stochastic volatility is the black price integrated over volatility distribution

Hull&White 1987 state that when the brownian motion driving the volatility and the brownian motion driving the forward rate are uncorrelated, the caplet price under stochastic volatility is the ...
• 11
2k views

### How to calculate premium in Black Scholes model with quantlib?

I am new to quantlib as well as option price modelling. I need to get premium from black scholes model and found this code in internet ...
• 647
576 views

### Black's Approximation - Discrete dividend for Put Options

I am currently trying to price and option chain for dividend paying stocks (american style exercise). I am able to calculate the Net Present Value (NPV) of dividends until maturity and then apply ...
• 103
1 vote
7k views

### Swaption : Bloomberg Black implied volatility quotes and pricing in the Black model

I used a lot Bloomberg's VCUB for data, but never used its integrated swaption pricer "Quick Pricer for Swaptions", nor Bloomberg's "full" swaption pricer from "SWPM -OV". I am retrospectively quite ...
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1 vote
291 views

### Need explanation on weird Gamma Behaviour Black Formula

I am using the RQuantlib package to price options on futures. With a slight modification one can go from the Black Model (76) to The BS Model. It can easily be shown that if we write S0 = (e-rt) * F0 ...
3k views

### 1y10y vs. 10y1y Swaption

Say you have two identical payer swaptions, exception for their terms and tenors. In other words, suppose you have two payer swaptions: $1y10y$ and $10y1y$. All other things being equal, according ...
4k views

### Black-76 Model for Swaption Price and Greeks

I'm in the early stages of developing a swaption pricing model. Suppose $t_1$ is the tenor of the swap rate in years, $F$ is the forward rate of the underlying swap, $X$ is the strke rate of the ...
2k views

### Is the delta of a binary option the same as the delta for a regular European option?

Assume both options have strike of 100, same time to expo, no dividend, same interest rate, same vol and lets say underlying is trading 95. Do both have the same deltas? I read this and still don't ...
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