Swaption class More...

#include <swaption.hpp>

Inheritance diagram for Swaption:

Collaboration diagram for Swaption:

Classes
class	arguments
	Arguments for swaption calculation More...

class	engine
	base class for swaption engines More...

Public Member Functions
	Swaption (ext::shared_ptr< FixedVsFloatingSwap > swap, const ext::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC)

Observer interface
void	deepUpdate () override

Instrument interface
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...

void	setupArguments (PricingEngine::arguments *) const override

Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)

void	setupArguments (PricingEngine::arguments *) const override

ext::shared_ptr< Payoff >	payoff () const

ext::shared_ptr< Exercise >	exercise () const

Public Member Functions inherited from Instrument
	Instrument ()

Real	NPV () const
	returns the net present value of the instrument. More...

Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...

const Date &	valuationDate () const
	returns the date the net present value refers to. More...

template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...

const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...

void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...

virtual void	fetchResults (const PricingEngine::results *) const

Public Member Functions inherited from LazyObject
	LazyObject ()

	~LazyObject () override=default

void	update () override

bool	isCalculated () const

void	forwardFirstNotificationOnly ()

void	alwaysForwardNotifications ()

void	recalculate ()

void	freeze ()

void	unfreeze ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Inspectors
ext::shared_ptr< FixedVsFloatingSwap >	swap_

Settlement::Type	settlementType_

Settlement::Method	settlementMethod_

ext::shared_ptr< VanillaSwap >	vanilla_

Settlement::Type	settlementType () const

Settlement::Method	settlementMethod () const

Swap::Type	type () const

const ext::shared_ptr< FixedVsFloatingSwap > &	underlying () const

const ext::shared_ptr< VanillaSwap > &	underlyingSwap () const

Volatility	impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, VolatilityType type=ShiftedLognormal, Real displacement=0.0) const
	implied volatility More...

Additional Inherited Members
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }

Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from Instrument
void	calculate () const override

virtual void	setupExpired () const

void	performCalculations () const override

Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_

ext::shared_ptr< Exercise >	exercise_

Protected Attributes inherited from Instrument
Real	NPV_

Real	errorEstimate_

Date	valuationDate_

std::map< std::string, ext::any >	additionalResults_

ext::shared_ptr< PricingEngine >	engine_

Protected Attributes inherited from LazyObject
bool	calculated_ = false

bool	frozen_ = false

bool	alwaysForward_

Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Swaption class

Warning:: it's possible to pass an overnight-indexed swap to the constructor, but the only engine to fully support it is BlackSwaptionEngine; other engines will treat it as a vanilla swap. This is at best a decent proxy, at worst simply wrong. Use with caution.

Tests:

the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
the correctness of the returned value is tested by checking it against a known good value.
the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the Swaption class.

Examples: BermudanSwaption.cpp.

Definition at line 88 of file swaption.hpp.

Constructor & Destructor Documentation

◆ Swaption()

Swaption	(	ext::shared_ptr< FixedVsFloatingSwap >	swap,
		const ext::shared_ptr< Exercise > &	exercise,
		Settlement::Type	delivery = `Settlement::Physical`,
		Settlement::Method	settlementMethod = `Settlement::PhysicalOTC`
	)

Definition at line 133 of file swaption.cpp.

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Member Function Documentation

◆ deepUpdate()

void deepUpdate ( )

overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 153 of file swaption.cpp.

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◆ isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 158 of file swaption.cpp.

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◆ setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 162 of file swaption.cpp.

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◆ settlementType()

Settlement::Type settlementType ( ) const

Definition at line 107 of file swaption.hpp.

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◆ settlementMethod()

Settlement::Method settlementMethod ( ) const

Definition at line 108 of file swaption.hpp.

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◆ type()

Swap::Type type ( ) const

Definition at line 111 of file swaption.hpp.

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◆ underlying()

const ext::shared_ptr< FixedVsFloatingSwap > & underlying ( ) const

Definition at line 112 of file swaption.hpp.

◆ underlyingSwap()

const ext::shared_ptr< VanillaSwap > & underlyingSwap ( ) const

Deprecated:: Use the Swaption::underlying method instead. Deprecated in version 1.34.

Definition at line 119 of file swaption.hpp.

◆ impliedVolatility()

Volatility impliedVolatility	(	Real	price,
		const Handle< YieldTermStructure > &	discountCurve,
		Volatility	guess,
		Real	accuracy = `1.0e-4`,
		Natural	maxEvaluations = `100`,
		Volatility	minVol = `1.0e-7`,
		Volatility	maxVol = `4.0`,
		VolatilityType	type = `ShiftedLognormal`,
		Real	displacement = `0.0`
	)		const

implied volatility

Definition at line 182 of file swaption.cpp.

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Member Data Documentation

◆ swap_

ext::shared_ptr<FixedVsFloatingSwap> swap_

private

Definition at line 137 of file swaption.hpp.

◆ settlementType_

Settlement::Type settlementType_

private

Definition at line 139 of file swaption.hpp.

◆ settlementMethod_

Settlement::Method settlementMethod_

private

Definition at line 140 of file swaption.hpp.

◆ vanilla_

ext::shared_ptr<VanillaSwap> vanilla_

private

Definition at line 142 of file swaption.hpp.

Classes

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ Swaption()

Member Function Documentation

◆ deepUpdate()

◆ isExpired()

◆ setupArguments()

◆ settlementType()

◆ settlementMethod()

◆ type()

◆ underlying()

◆ underlyingSwap()

◆ impliedVolatility()

Member Data Documentation

◆ swap_

◆ settlementType_

◆ settlementMethod_

◆ vanilla_