EduMarkets Interest Rate Options

The interest rate options module prices caps, floors, and swaptions under both Black-76 and Bachelier. In a low-rate world, the choice between the two models can change the price as much as any input. Users decompose caps into individual caplets, work through payer-receiver parity, and calibrate SABR to a market-consistent smile. The volatility surface is interactive, so a change to one parameter propagates through every strike and tenor.

Handbook chapters

  1. Interest Rate Options
  2. Caps & Floors
  3. Swaptions
  4. Volatility for Rates
  5. Pricing Models
  6. SABR
  7. Constant Maturity Swaps
  8. The Greeks
  9. Portfolio & P&L Attribution

Tools and exercises

  • Yield Curve
  • Swaptions
    • Payer Swaptions
    • Receiver Swaptions
  • Caps & Floors
    • Interest Rate Caps
    • Interest Rate Floors
  • FRA & SPS
  • Swaps
  • CMS
    • Constant Maturity Swaps
  • Vol Surface
  • Portfolio
  • Exercises
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