public static double blackModelSwaptionValue ( double forwardSwaprate , double volatility , double optionMaturity , double optionStrike , double swapAnnuity ) { // May be interpreted as a special version of the Black-Scholes Formula return AnalyticFormulas . blackScholesGeneralizedOptionValue ( forwardSwaprate , volatility , optionMaturity , optionStrike , swapAnnuity ) ; }
Calculate the value of a swaption assuming the Black 76 model .