%% Price a European Swaption Using the Black Model Where the Yield Curve is Flat at 6%
% Price a European swaption that gives the holder the right to enter in five years into a three-year paying swap where a fixed-rate of 6.2% is paid and floating is received. Assume that the yield curve is flat at 6% per annum with continuous compounding, the volatility of the swap rate is 20%, the principal is $100, and payments are exchanged semiannually.
% Create the RateSpec.

Rate = 0.06;
Compounding  = -1;
ValuationDate = 'Jan-1-2010';
EndDates =   'Jan-1-2020'; 
Basis = 1; 

RateSpec = intenvset('ValuationDate', ValuationDate,'StartDates', ValuationDate, ...
'EndDates', EndDates, 'Rates', Rate, 'Compounding', Compounding, 'Basis', Basis);

%
% Price the swaption using the Black model.

Settle = 'Jan-1-2011';
ExerciseDates = 'Jan-1-2016';
Maturity = 'Jan-1-2019'; 
Reset = 2; 
Principal = 100;
Strike = 0.062;
Volatility = 0.2;
OptSpec = 'call';

Price= swaptionbyblk(RateSpec, OptSpec, Strike, Settle, ExerciseDates, Maturity, ...
Volatility, 'Reset', Reset, 'Principal', Principal, 'Basis', Basis)

% Copyright 2015 The MathWorks, Inc.