My swaption model referenced on Bloomberg
- 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



Comments