4.5a Derivative instruments - interest rate options under Black - simpler cases

This paper covers:

• What is an interest rate derivative?
• Interest rate options in the Black framework
• Application of the Black model to future cashflows (a fixed flow at option maturity, a fixed flow after option maturity, a floating flow with a natural time lag)
• Valuation under the forward measure
• Cap, swaption and cross-currency swaption valuation
• Option PVBP
• Various appendices of interest and for reference in future papers

This paper has 19 pages and the Excel has 3 sheets