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 14 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.

Web Reference: here

All cash flows displayed in chronological order as a table with a maximum of 26 columns.

Only those columns appear that are relevant in a given context.

The column titles indicate the meaning of the respective data.

The following preliminaries need to be known.

Most of the columns pertain to cash flows resulting from the observed (i.e. realized) value

Exceptions are bullet amounts - such as principal repayments - that are paid at some time

The index value

A typical construction of the rate

where

Note, a rate

Below is an alphabetical list of all possible column titles with their descriptions:

The number of calendar days in the accrual interval

The daycount convention associated with the accrual interval

The date

The date

The year fraction

The adjusted index

The amount paid at time

The denomination currency of the amount paid at time

An object containing details about the related index

This is the contractual direction of the cash flow and can be either

The date when the index

The index

The index

Applies only when the index

Applies only when the index

The gearing

The applicable index

The counter - starting with 1 - of the referenced cash flow when counting only the cash flows of the containing leg in chronological order (according to the payment date).

The leg where the cash flow belongs. 1 <-> first leg. 2 <-> second leg.

The notional

The payment date

The rate

The spread

The type of the cash flow.

Applies only when the index

Same as above, with the distinction that the date shown here pertains to the start date of the time interval containing all the Value Dates.

The output is a number that represents the price of the referenced tradable, which is the present value of all expected future cash flows, whereby "today" represents the currently set global valuation (trade) date or its overwrite through the Tradable::Price::As Of.

The cash flows occurring on the trade date are included only if Tradable::Price::Trade Date CFs is set to

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.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.