def makeSwaption(self,
vol,
volType=ql.ShiftedLognormal,
delivery=ql.Settlement.Physical,
settlementMethod=ql.Settlement.PhysicalOTC,
shift=0.02,
swapRebuild=True):
if swapRebuild:
self.makeSwap(self.optionTenor, self.swapTenor, self.fairRate)
self.volHandle = ql.QuoteHandle(ql.SimpleQuote(vol))
self.payerSwaption = ql.Swaption(
self.payerSwap, ql.EuropeanExercise(self.exerciseDate), delivery,
settlementMethod)
self.receiverSwaption = ql.Swaption(
self.receiverSwap, ql.EuropeanExercise(self.exerciseDate),
delivery, settlementMethod)
if volType == ql.ShiftedLognormal:
swaptionEngine = ql.BlackSwaptionEngine(
self.discountTermStructure,
ql.QuoteHandle(ql.SimpleQuote(vol)), ql.Actual365Fixed(),
shift)
elif volType == ql.Normal:
swaptionEngine = ql.BachelierSwaptionEngine(
self.discountTermStructure,
ql.QuoteHandle(ql.SimpleQuote(vol)), ql.Actual365Fixed())
self.payerSwaption.setPricingEngine(swaptionEngine)
self.receiverSwaption.setPricingEngine(swaptionEngine)
def __init__(self, underlyingSwap, expiryDate, normalVolatility):
self.underlyingSwap = underlyingSwap
self.exercise = ql.EuropeanExercise(expiryDate)
self.swaption = ql.Swaption(self.underlyingSwap.swap,self.exercise,ql.Settlement.Physical)
self.normalVolatility = normalVolatility
volQuote = ql.SimpleQuote(normalVolatility)
volHandle = ql.QuoteHandle(volQuote)
initialEngine = ql.BachelierSwaptionEngine(self.underlyingSwap.discHandle,volHandle,ql.Actual365Fixed())
self.swaption.setPricingEngine(initialEngine)
def make_const_bachelier_vol_engine(discount_handle, volatility):
h = ql.QuoteHandle(ql.SimpleQuote(volatility))
return ql.BachelierSwaptionEngine(discount_handle, h)
