ibor swaption

financepy.products.rates.ibor_swaption

Class

IborSwaption

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

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: Date,
    discount_curve: DiscountCurve,
    model: 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: Date,
    discount_curve: DiscountCurve,
    swap_rate: float,
    model: 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.