quantlib.instruments.swaption.
Swaption¶
- class Swaption(FixedVsFloatingSwap swap, Exercise exercise, Type delivery=Settlement.Physical, Method settlement_method=Settlement.PhysicalOTC)¶
Bases:
Option
- Attributes:
- annuity
- atm_forward
- delta
error_estimate
Instrument.error_estimate: Real
exercise
Option.exercise: Exercise
- implied_vol
is_expired
Instrument.is_expired: bool
net_present_value
Instrument net present value.
npv
Shortcut to the net_present_value property.
payoff
Option.payoff: Payoff
- settlement_method
- settlement_type
- std_dev
- time_to_expiry
- type
valuation_date
the date the net present value refers to.
- vega
Methods
implied_volatility
(self, Real price, ...)set_pricing_engine
(self, PricingEngine engine)Sets the pricing engine.
underlying
(self)