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From: Mikael Henriksson on 3 Aug 2010 22:05
I am having trouble pricing Swaptions in Matlab based on the implied volatility I get from Bloomberg.

I was told Bloomberg (in their swaption calculator (SWPM)) uses Black's model. But when I compare the answers I get from using Black's model in Matlab, they do not at all correspond to the numbers I get from Bloombergs swaption calculator.

What I'm sending in to Black's (blkprice) model is.
Price = current forward swap rate (e.g. 4.5%) = 0.045
Strike = strike swap rate (e.g. 5%) = 0.05
Rate = risk free rate (e.g. 1%) = 0.01
Time = Time to maturity of the option (i.e. till the swap starts) = 1 year
Volatility = implied volatility for the swap rates (e.g. 22%) = 0.22

I appreciate any help I can get.

Best,
Mikael
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