mafipy.calibrator.black_swaption_implied_vol

mafipy.calibrator.black_swaption_implied_vol(init_swap_rate, option_strike, swap_annuity, option_maturity, option_value, vol_min=0.0001, vol_max=6.0, max_iter=2000)

calculates implied volatility of payer’s swaption by brent method.

Parameters:

• init_swap_rate (float) –
• option_strike (float) –
• swap_annuity (float) –
• option_maturity (float) –
• option_value (float) – value of option.
• vol_min (float) – lower bound of volatility. default value is 1e-4.
• vol_max (float) – upper bound of volatility. default value is 6.0.
• max_iter (int) – maximum number of iterations. default value is 2000.

Returns:

implied volatility.

Return type:

float.