Model[Vanilla_Swaption]

"Model[Vanilla Swaption]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type Vanilla Swaption.The pricing succeeds by any of 15 different methods listed in Model[Vanilla Swaption]::Pricing Method

The volatility input, apart from flat, may also be Vol Curve::Vol Input::Swaption Surface or Vol Curve::Vol Input::Swaption Cube

If the "correct" volatility input is not known, the functions Tradable::Implied Vol and Vol Curve::Create Implied Vol Table allows the calculation of the volatility implied by any given set of swaption prices.

The first function returns the flat vol implied by a single market swaption price.

The second function returns either a volatility surface or a volatility cube expressed respectively as a 2-dimensional expiry/swap tenor table or a 3-dimensional expiry/swap tenor/strike table implied by a set of arbitrary market swaption prices.

This may in turn be used as input to the pricing of any other swaption that lacks a market price. Note the involved market swaptions must be europeans.

The following quantities may be also calculated and reported along the price.

Set containing detailed information about the fixed leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

Set containing detailed information about the fixed leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

Set containing detailed information about the floating leg cash flows of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

In particular, the column labelled

More information on this output is available in the function Gaussian 1d Model::Calc Quantities that produces a similar output.

Set containing detailed information about the floating leg non-accrual principal payments of the underlying swap in which the option holder would enter, if the option were to be exercised on its first exercise date.

It holds an object of type Set where each row corresponds to a cash flow.

The output refers to the price of the referenced tradable contract.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.