Quantitative risk · embedded optionality

AIRO valuation — interactive

Two views of the same option: the Black-76 closed form used for caps and floors, and a binomial rate tree for products where early exercise matters. Illustrative inputs.

Black-76 — single caplet

A caplet is a call option on the forward rate. This is the closed form used per caplet, then summed across a cap's reset dates.

Forward rate F: 6.5%

Strike K (cap rate): 7.0%

Volatility σ: 20%

Time to expiry T: 1.0 yr

Read the full AIRO methodology →

Illustrative valuations on synthetic inputs — method demonstration, not any client's data, parameters or code.

AIRO valuation — interactive

Black-76 — single caplet

Binomial short-rate tree — cap by backward induction