Tutorial 002: A Pricing Sheet for a Swaption
Task

Create a pricing sheet which calculates the price of a swaption given a curve of forward rates, a swap rate volatility and product data like tenor and maturity. Proceed in steps: calculate the swap annuity, the swap rate and then use the BlackScholes formula implemented in Tutorial 001.
Note: The task can be accomplished using the Java library via the "Obba" Excel plugin. Alternatively it can be done with Excel worksheet functions without any additional library.
Solution / Example
See Swaption.xls from the finmath spreadsheets.