Swaption Pricing

Swaption Pricing with Black Model and Black Normal Model

Black an Normal functions allow to compute the premium and the delta of a swaption respectively using the Black Model (log-normal swap rate) and the Black Normal Model (assuming a normally distributed swap rate). The inputs of such functions are the swapRate (that can be computed using the function getSwapRate), the strike rate k, the option expiry, the volatility of the underlying swap rate, the annuty measure an (again, it can be computed by means of the function getSwapRate), the option type, optType, that can assume the values 'Payer' or 'Receiver'.
getSwapRate allows to compute the swap rate and the annuity measure taking as inputs a zero rate curve and a the forwarding curve. Both curves must be load using readtable('.xlsx') where the .xlsx file contains two columns with headers "dt" and "rate".