Pricing LIBOR Options with Excel

This Excel spreadsheet calculates the price of a LIBOR option using the Black-76 model.

LIBOR Options

The spreadsheet lets you change parameters, but the formulas are protected with a password. For the password, please leave a comment.

Download Excel Spreadsheet to Price LIBOR Options with Black-76

2 thoughts on “Pricing LIBOR Options with Excel”

Leave a Comment

This site is protected by reCAPTCHA and the Google Privacy Policy and Terms of Service apply.