Black76

Black's model (1976) — a European option on a forward or futures price F, discounted at r. The cost of carry is zero, so d1 = (ln(F/K) + sigma^2 T / 2) / (sigma sqrt(T)) and the price is e^{-rT} [F N(d1) - K N(d2)] for a call.

This is the standard-market-model pricer for caps and floors (each caplet a call on the forward rate), European swaptions (a call/put on the forward swap rate times the annuity), and options on bond and commodity futures.

In AnalyticGreeks: delta() is dV/dF, rho() is dV/dr = -T * price (the forward is held fixed as r moves — the usual Black-76 convention).