Ibor Bermudan Swaption
financepy.products.rates.ibor_bermudan_swaption
Classes
IborBermudanSwaption
IborBermudanSwaption(settle_dt: financepy.utils.date.Date, exercise_dt: financepy.utils.date.Date, maturity_dt: financepy.utils.date.Date, fixed_leg_type: financepy.utils.global_types.SwapTypes, exercise_type: financepy.utils.global_types.ExerciseTypes, fixed_cpn: float, fixed_freq_type: financepy.utils.frequency.FrequencyTypes, fixed_dc_type: financepy.utils.day_count.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>)
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, discount_curve, 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.