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My swaption model referenced on Bloomberg

  • Writer: davidsmith208
    davidsmith208
  • Jul 1, 2017
  • 1 min read

There was a time when my Black Commodity model version of swaption pricing was used on Bloomberg but "applied liberally" as they said. 

It basically worked but you should not try to fly a spaceship to the moon with it. 

The Financial Analyst Journal 1991

Three articles combined for a new book available on Amazon: A Simplified Method for pricing Interest Rate Swaps and Swaptions by David Smith


 
 
 

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