
Black76
Black model for swaptions
Created Jun 2022
Updated the pricing engine to accommodate off-the-money (OTM) swaptions in addition to the existing ATM functionality. Modified the configuration logic to allow users to manually set strike prices and forward rates, improving the model's flexibility for non-standard pricing scenarios.
Removed an unused GIF file (6m10y_normal.gif) from the project assets to reduce repository clutter. This cleanup is part of maintaining a leaner codebase. 
Introduced a testing component to the Black_model script to help ensure the pricing logic for European swaptions remains robust. This addition aims to improve the reliability of the interpolation and pricing functions over time. 
Added a new Python implementation of the Black model to price European swaptions using Bloomberg and Bank of England market data. The script includes interpolation capabilities to handle ATM strikes and implied volatilities for unquoted swaptions. Results for these pricing exercises are outputted into an Excel workbook for further analysis. 