quantlib.instruments.swaption.Swaption

class Swaption(FixedVsFloatingSwap swap, Exercise exercise, Type delivery=Settlement.Physical, Method settlement_method=Settlement.PhysicalOTC)

Bases: Option

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
implied_volatility(self, Real price, ...)
set_pricing_engine(self, PricingEngine engine)	Sets the pricing engine.
underlying_swap(self)

Attributes

annuity
atm_forward
delta
exercise
implied_vol
is_expired
net_present_value	Instrument net present value.
npv	Shortcut to the net_present_value property.
payoff
settlement_method
settlement_type
std_dev
time_to_expiry
type
valuation_date
vega

implied_volatility(self, Real price, YieldTermStructure discount_curve, Volatility guess, Real accuracy=1e-4, Natural max_evaluations=100, Volatility min_vol=1e-7, Volatility max_vol=4., VolatilityType type=ShiftedLognormal, Real displacement=0.)

underlying_swap(self)