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)