Model[Vanilla_Swaption]__Pricing_Method

Available

Corresponds to the QuantLib Black Engine and applies to european swaptions only.

The swaption price is calculated by means of the Black formula for swaptions, which relies on the 3 inputs wrt the forward swap rate: atm forward, standard deviation and annuity.

The underlying assumption is that the applicable forward swap rate follows a driftless lognormal diffusion with deterministic - perhaps time dependent vol - in the annuity measure and therefore is lognormally distributed at expiry.

This makes the derivation of a Black-Scholes type of formula possible.

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

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 one factor short rate model.

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

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

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

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 BlackKarasinski one factor short rate model.

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

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

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

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