Swaption Class Reference

Swaption class More...

#include <swaption.hpp>

Inheritance diagram for Swaption:

Collaboration diagram for Swaption:

Classes
class	arguments
	Arguments for swaption calculation More...
class	engine
	base class for swaption engines More...

Public Types
enum	PriceType { Spot , Forward }
Public Types inherited from Option
enum	Type { Put = -1 , Call = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
	Swaption (ext::shared_ptr< FixedVsFloatingSwap > swap, const ext::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical, Settlement::Method settlementMethod=Settlement::PhysicalOTC)
Observer interface
void	deepUpdate () override
Instrument interface
bool	isExpired () const override
	returns whether the instrument might have value greater than zero. More...
void	setupArguments (PricingEngine::arguments *) const override
Public Member Functions inherited from Option
	Option (ext::shared_ptr< Payoff > payoff, ext::shared_ptr< Exercise > exercise)
void	setupArguments (PricingEngine::arguments *) const override
ext::shared_ptr< Payoff >	payoff () const
ext::shared_ptr< Exercise >	exercise () const
Public Member Functions inherited from Instrument
	Instrument ()
Real	NPV () const
	returns the net present value of the instrument. More...
Real	errorEstimate () const
	returns the error estimate on the NPV when available. More...
const Date &	valuationDate () const
	returns the date the net present value refers to. More...
template<typename T >
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine. More...
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine. More...
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used. More...
virtual void	fetchResults (const PricingEngine::results *) const
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~Observer ()
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()
virtual void	update ()=0
virtual void	deepUpdate ()

Inspectors
ext::shared_ptr< FixedVsFloatingSwap >	swap_
Settlement::Type	settlementType_
Settlement::Method	settlementMethod_
ext::shared_ptr< VanillaSwap >	vanilla_
Settlement::Type	settlementType () const
Settlement::Method	settlementMethod () const
Swap::Type	type () const
const ext::shared_ptr< FixedVsFloatingSwap > &	underlying () const
Volatility	impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, VolatilityType type=ShiftedLognormal, Real displacement=0.0, PriceType priceType=Spot) const
	implied volatility More...

Additional Inherited Members
Protected Member Functions inherited from Instrument
void	calculate () const override
virtual void	setupExpired () const
void	performCalculations () const override
Protected Member Functions inherited from LazyObject
Protected Attributes inherited from Option
ext::shared_ptr< Payoff >	payoff_
ext::shared_ptr< Exercise >	exercise_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
Protected Attributes inherited from LazyObject
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_
Related Functions inherited from Option
std::ostream &	operator<< (std::ostream &, Option::Type)

Detailed Description

Swaption class

Warning:

it's possible to pass an overnight-indexed swap to the constructor, but the only engine to fully support it is BlackSwaptionEngine; other engines will treat it as a vanilla swap. This is at best a decent proxy, at worst simply wrong. Use with caution.

Tests:

• the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
• the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
• the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
• the correctness of the returned value is tested by checking it against a known good value.
• the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the Swaption class.

Examples

BermudanSwaption.cpp.

Definition at line 88 of file swaption.hpp.

Member Enumeration Documentation

PriceType

enum PriceType

Enumerator
Spot
Forward

Definition at line 90 of file swaption.hpp.

Constructor & Destructor Documentation

Swaption()

Swaption	(	ext::shared_ptr< FixedVsFloatingSwap >	swap,
		const ext::shared_ptr< Exercise > &	exercise,
		Settlement::Type	delivery = Settlement::Physical,
		Settlement::Method	settlementMethod = Settlement::PhysicalOTC
	)

Definition at line 133 of file swaption.cpp.

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Member Function Documentation

deepUpdate()

void deepUpdate ( )

overridevirtual

This method allows to explicitly update the instance itself and nested observers. If notifications are disabled a call to this method ensures an update of such nested observers. It should be implemented in derived classes whenever applicable

Reimplemented from Observer.

Definition at line 153 of file swaption.cpp.

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isExpired()

bool isExpired ( ) const

overridevirtual

returns whether the instrument might have value greater than zero.

Implements Instrument.

Definition at line 158 of file swaption.cpp.

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setupArguments()

void setupArguments ( PricingEngine::arguments *  ) const

overridevirtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Definition at line 162 of file swaption.cpp.

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settlementType()

Settlement::Type settlementType

(

)

const

Definition at line 108 of file swaption.hpp.

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settlementMethod()

Settlement::Method settlementMethod

(

)

const

Definition at line 109 of file swaption.hpp.

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type()

Swap::Type type

(

)

const

Definition at line 112 of file swaption.hpp.

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underlying()

const ext::shared_ptr< FixedVsFloatingSwap > & underlying

(

)

const

Definition at line 113 of file swaption.hpp.

impliedVolatility()

Volatility impliedVolatility	(	Real	price,
		const Handle< YieldTermStructure > &	discountCurve,
		Volatility	guess,
		Real	accuracy = 1.0e-4,
		Natural	maxEvaluations = 100,
		Volatility	minVol = 1.0e-7,
		Volatility	maxVol = 4.0,
		VolatilityType	type = ShiftedLognormal,
		Real	displacement = 0.0,
		PriceType	priceType = Spot
	)		const

implied volatility

Definition at line 182 of file swaption.cpp.

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Member Data Documentation

swap_

ext::shared_ptr<FixedVsFloatingSwap> swap_

private

Definition at line 131 of file swaption.hpp.

settlementType_

Settlement::Type settlementType_

private

Definition at line 133 of file swaption.hpp.

settlementMethod_

Settlement::Method settlementMethod_

private

Definition at line 134 of file swaption.hpp.

vanilla_

ext::shared_ptr<VanillaSwap> vanilla_

private

Definition at line 136 of file swaption.hpp.