mafipy.replication.make_cdf_black_swaption

mafipy.replication.make_cdf_black_swaption(init_swap_rate, swap_annuity, option_maturity, vol)

returns c.d.f. of black swaption.

Parameters:

• init_swap_rate – initial swap rate.
• swap_annuity – swap annuity.
• option_maturity – maturity of swaption.
• vol – volatility. non-negative.

Returns:

distribution of black swaption model as a funciton of strike.

Return type:

function

Raises:

AssertionError – if volatility is not positive.