mafipy.function.black_swaption_pdf

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

calculates value of p.d.f. of black swaption. black_payers_swaption_value_fhess_by_strike().

Parameters:

• init_swap_rate (float) – initial swap rate.
• option_strike (float) – option strike.
• swap_annuity (float) – swap annuity.
• option_maturity (float) – maturity of swaption.
• vol (float) – volatility. non-negative.

Returns:

value of p.d.f. of black swaption model.

Return type:

float.