Swaptions and Volatility

Price options on interest rate swaps: payer or receiver, any expiry and tenor, with Black (lognormal) or Bachelier (normal) volatility on the forward swap rate. Read volatility from a surface, convert between the two kinds, back out implied volatility from a premium, and see the payoff.

Learning focus: normal against lognormal volatility at low rates, and swaptions as hedges for callable bonds and MBS.