Ibor Swaption
financepy.products.rates.ibor_swaption
Classes
IborSwaption
IborSwaption(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, fixed_cpn: float, fixed_freq_type: financepy.utils.frequency.FrequencyTypes, fixed_dc_type: financepy.utils.day_count.DayCountTypes, notional: float = 1000000, float_freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, float_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360: 2>, cal_type: financepy.utils.calendar.CalendarTypes | list | tuple = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)
This is the class for the European-style swaption, an option to enter
into a swap (payer or receiver of the fixed cpn), that starts in the
future and with a fixed maturity, at a swap rate fixed today.
Methods
value
value(self, value_dt, discount_curve, model)
Valuation of a Ibor European-style swaption using a choice of
models on a specified valuation date. Models include FinModelBlack,
FinModelBlackShifted, SABR, SABRShifted, FinModelHW,
FinModelBK and FinModelBDT. The last two involved a tree-based
valuation.
cash_settled_value
cash_settled_value(self, value_dt: financepy.utils.date.Date, discount_curve, swap_rate: float, model)
Valuation of a Ibor European-style swaption using a cash settled
approach which is a market convention that used Black's model and that
discounts all of the future payments at a flat swap rate. Note that the
Black volatility for this valuation should in general not equal the
Black volatility for the standard arbitrage-free valuation.
print_swap_fixed_leg
print_swap_fixed_leg(self)
Print the present value of the fixed leg of the underlying swap.
print_swap_float_leg
print_swap_float_leg(self)
Print the present value of the floating leg of the underlying swap.
Generated automatically from the FinancePy source code.
Do not edit this file manually.