Model[Vanilla_Swaption]__Pricing_Method

Available

Assumes that the underlying forward swap rate

Concretely

The QuantLib engine used is the BachelierSwaptionEngine.

Assumes that the underlying forward swap rate

Concretely

The QuantLib engine used is the BlackSwaptionEngine.

Assumes that the underlying forward swap rate

Concretely

It follows that a positive

Note this model reduses to the

The QuantLib engine used is the BlackSwaptionEngine with a non-trivial displacement amount.

Corresponds to the QuantLib G2Swaption Engine powered with a G2 Model two-factor short rate model.

SDE:

where

and

Semi-analytic implementation.

Corresponds to the QuantLib Gaussian1dSwaption Engine powered with a one-dimensional gaussian short rate model.

Here the user must also supply an object of type Gaussian 1d Model containing the volatility and mean reversion parameters that specify the exact dynamics of the short rate diffusion.

Optionally the

The calibration is achieved through the local function GSR Model::Calibrate.

An VanillaOption Adjusted Spread may be also defined in situations where credit spreads are involved.

An example would be a bermudan callable fixed bond, of which the call right may be priced if viewed as a swaption to enter into a one leg swap with notional reimbursement at maturity and an exercise-linked rebate paying the notional.

Corresponds to the QuantLib JamshidianSwaption Engine powered with a CIR Model one factor short rate model.

SDE:

Semi-analytic implementation.

QuantLib warning: This class was not tested enough to guarantee its functionality.

Corresponds to the QuantLib JamshidianSwaption Engine powered with a Extended CIR Model one factor short rate model.

Formula:

where

Semi-analytic implementation.

QuantLib warning: This class was not tested enough to guarantee its functionality.

Corresponds to the QuantLib JamshidianSwaption Engine powered with a Hull White Model one factor short rate model.

SDE:

Semi-analytic implementation.

Corresponds to the QuantLib JamshidianSwaption Engine powered with a Vasicek Model one factor short rate model.

SDE:

Semi-analytic implementation.

Makes use of the QL Market Model type.

The disclaimer described in QL MM Data applies also here.

The pricing is carried out by mapping the given Vanilla Swaption object into an equivalent object of type QL Multi Step Swaption

Note a market object of type Market Model Curve is also required that supplies the assumed evolution of the relevant forward rates and a model object of type Market Model that supplies the simulation specifications.

Corresponds to the QuantLib TreeSwaption Engine powered with a Black Karasinski Model one factor short rate model.

SDE:

Tree implementation.

Corresponds to the QuantLib TreeSwaption Engine powered with a CIR Model one factor short rate model.

SDE:

Tree implementation.

QuantLib warning: This class was not tested enough to guarantee its functionality.

Corresponds to the QuantLib TreeSwaption Engine powered with a Extended CIR Model one factor short rate model.

Formula:

where

Tree implementation.

QuantLib warning: This class was not tested enough to guarantee its functionality.

Corresponds to the QuantLib TreeSwaption Engine powered with a Hull White Model one factor short rate model.

SDE:

Tree implementation.

Corresponds to the QuantLib TreeSwaption Engine powered with a Vasicek Model one factor short rate model.

SDE:

Tree implementation.