ibor bermudan swaption

financepy.products.rates.ibor_bermudan_swaption

Class

IborBermudanSwaption

IborBermudanSwaption(
    settle_dt: Date,
    exercise_dt: Date,
    maturity_dt: Date,
    fixed_leg_type: SwapTypes,
    exercise_type: ExerciseTypes,
    fixed_cpn: float,
    fixed_freq_type: FrequencyTypes,
    fixed_dc_type: DayCountTypes,
    notional = 1000000,
    float_freq_type = <FrequencyTypes.QUARTERLY: 4>,
    float_dc_type = <DayCountTypes.THIRTY_E_360: 2>,
    cal_type = <CalendarTypes.WEEKEND: 2>,
    bd_type = <BusDayAdjustTypes.FOLLOWING: 2>,
    dg_type = <DateGenRuleTypes.BACKWARD: 2>,
) -> None

This is the class for the Bermudan-style swaption, an option to enter into a swap (payer or receiver of the fixed coupon), that starts in the future and with a fixed maturity, at a swap rate fixed today. This swaption can be exercised on any of the fixed coupon payment dates after the first exercise date.

Methods

value


value(
    self,
    value_dt: Date,
    discount_curve: DiscountCurve,
    model,
)

Value the Bermudan swaption using the specified model and a discount curve. The choices of model are the Hull-White model, the Black-Karasinski model and the Black-Derman-Toy model.

print_swaption_value


print_swaption_value(
    self,
)

Print the swaption value and the underlying swap details.

Generated automatically from the FinancePy source code. Do not edit this file manually.