mafipy.function.black_receivers_swaption_value

mafipy.function.black_receivers_swaption_value(init_swap_rate, option_strike, swap_annuity, option_maturity, vol)

calculates value of receiver’s swaptions under black model.

\[\begin{eqnarray} V_{\mathrm{receiver}}(t; S(t), K, A(t), T, \sigma) & = & A(t) \mathrm{E}_{t}^{A} \left[ (K - S(T))^{+} \right] \end{eqnarray}\]

where \(S(t)\) is init_swap_rate, \(A(t)\) is swap_annuity, \(K\) is option_strike, \(T\) is option_maturity, \(\sigma\) is vol. \(d_{1}, d_{2}\) are defined in black_payers_swaption_value().

Parameters:

• init_swap_rate – initial swap rate.
• option_strike – strike of swaption.
• swap_annuity – annuity of referencing swap.
• option_maturity – maturity of swaption.
• vol – volatility. This must be non-negative.

Raises:

AssertionError – if volatility is not positive.