Model[Swing Option]


"Model[Swing Option]" is a special type of Model
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with functions Model[Swing Option] Functions, keys Model[Swing Option] keys and example object SwingOptMdl

TYPE INCLUSION RELATIONSHIPS

Model Exotic Option

Model Swing Option

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AVAILABLE FUNCTIONS

Create

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AVAILABLE CREATE FUNCTION KEYS

Finite Differences

Pricing Method

Underlying Process

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TYPICAL OBJECTS OF TYPE Model[Swing Option]

SwingOptMdl

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This type represents modelling assumptions relating to the type Swing Option that may be needed during some valuation algorithm.
The pricing succeeds by any of 2 different methods listed in Pricing Method

The following labels may be assigned to the key Output of the Price function in order for the latter to return the respective quantities.
List of valid values:
Delta
Refers to the output of QuantLib's delta function.


Gamma
Refers to the output of QuantLib's gamma function.


Price

The output is a number that represents the price - also known as NPV (Net Present Value) - of the referenced tradable as of the trade date
Note the applicable trade date equals the global trade date, except if overridden by the optional entry As Of
The cash flows occurring on the trade date are included only if Trade Date CFs is set to TRUE


Theta
Refers to the output of QuantLib's theta function.



The quantities listed in FDVanilla Extra Data are reportable when Finite Differences is used.