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Model[Vanilla_Swaption]__Pricing_Method

Pricing Method refers to List of available pricing methods.
Available Pricing Method types:
Black
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.
G2
Corresponds to the QuantLib G2Swaption Engine powered with a G2 two-factor short rate model.
Gaussian1d
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 Gaussian 1d Model may be calibarated so that its parameters are compatible with a given set of market volatilities.
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.
JamshidianCIR
Corresponds to the QuantLib JamshidianSwaption Engine powered with a CIR one factor short rate model.
JamshidianExtendedCIR
Corresponds to the QuantLib JamshidianSwaption Engine powered with a ExtendedCIR one factor short rate model.
JamshidianHullWhite
Corresponds to the QuantLib JamshidianSwaption Engine powered with a HullWhite one factor short rate model.
JamshidianVasicek
Corresponds to the QuantLib JamshidianSwaption Engine powered with a Vasicek one factor short rate model.
MarketModel
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.
TreeBlackKarasinski
Corresponds to the QuantLib TreeSwaption Engine powered with a BlackKarasinski one factor short rate model.
TreeCIR
Corresponds to the QuantLib TreeSwaption Engine powered with a CIR one factor short rate model.
TreeExtendedCIR
Corresponds to the QuantLib TreeSwaption Engine powered with a ExtendedCIR one factor short rate model.
TreeHullWhite
Corresponds to the QuantLib TreeSwaption Engine powered with a HullWhite one factor short rate model.
TreeVasicek
Corresponds to the QuantLib TreeSwaption Engine powered with a Vasicek one factor short rate model.