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.

All cash flows displayed in chronological order as a table with a maximum of 18 columns.

The column titles indicate the meaning of the respective data.

In particular:

The column titled

In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.

The column titled

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The output is a number that represents the price of the referenced tradable.

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.