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

Real: error estimate on the NPV when available

exercise

Exercise

implied_vol

is_expired

bool: whether the instrument might have value greater than zero.

net_present_value

The net present value of the instrument.

npv

A shortcut to the net_present_value property.

payoff

Payoff

settlement_method

settlement_type

std_dev

time_to_expiry

type

valuation_date

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 to be used.
underlying(self)