Swaption pricer (Black's model)
In short
The option on a swap, priced on the forward rate and its annuity.
Interactive: swaption pricer (Black's model)Hard
The right, not the obligation, to enter a swap at a fixed rate. Priced on the forward swap rate and discounted by the annuity of the underlying swap — the same annuity that gives a swap its DV01.
- Annuity factor
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- Payer swaption
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- Receiver swaption
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- Payer, in basis points
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- Exercise probability
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- Reading
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A payer swaption is a call on rates; a receiver is a put. Notice that the annuity — not the notional — is what scales the premium: a swaption on a 10-year swap is worth roughly twice one on a 5-year swap at the same rate, because there are twice as many payments to protect.
The idea behind it
This calculator belongs to Rates Derivatives, where the mechanism it computes is explained step by step, with the formula, what each input means and where the simple model stops being right. Everything is computed in your browser; nothing you type is sent anywhere.
Instruments it applies to
- Swaption — An option to enter a swap — the instrument through which the market prices interest-rate uncertainty itself.
More calculators from Rates Derivatives
- Swap mark-to-market & DV01 — annuity, DV01, payer/receiver value.
- Implied forward rate — the rate hidden between two curve points.
- FRA settlement — lock a future rate, settle the difference.