1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
|
\name{SabrSwaption}
\alias{SabrSwaption}
\alias{SabrSwaption.default}
\title{SABR swaption using vol cube data with bermudan alternative using markovfunctional}
\description{
\code{SabrSwaption} prices a swaption with specified
expiration or time range if Bermudan, strike, and maturity, using quantlibs SABR model for europeans
and quantlib's markovfunctional for Bermudans. Currently the input is a zero offset log-normal vol surface.
An example of a dataset can be found in the dataset {rqlib} inlcuded with Rquantlib. It is assumed that the
swaption is
exercisable at the start of a forward start swap if {params$european} flag is set to {TRUE} or starting
immediately on each reset date (Bermudan) of an existing underlying swap or spot start
swap if {params$european} flag is set to {FALSE}.
}
\usage{
SabrSwaption(params, ts, volCubeDF,
legparams = list(dayCounter = "Thirty360", fixFreq = "Annual", floatFreq = "Semiannual"),
tsUp01 = NA, tsDn01 = NA, vega = FALSE)}
\arguments{
\item{params}{A list specifying the \code{tradeDate} (month/day/year),
\code{settlementDate}, logical flags \code{payFixed} & \code{european}
(european=FALSE generates Bermudan vlaue), \code{strike}, pricing \code{method}, and curve
construction options (see \emph{Examples} section below). Curve construction options are
\code{interpWhat} (possible values are \code{discount},
\code{forward}, and \code{zero}) and
\code{interpHow} (possible values are \code{linear},
\code{loglinear}
, and \code{spline}). Both \code{interpWhat} and \code{interpHow}
are ignored when a flat yield curve is requested, but they must be
present nevertheless.
}
\item{ts}{A term structure built with DiscountCurve is required. See the
help page for \code{\link{DiscountCurve}} and example below for details.}
\item{volCubeDF}{The swaption volatility cube in dataframe format with columns Expiry, Tenor, Spread,
and LogNormalVol stored by rows. See the example below.}
\item{legparams}{A list specifying the \code{dayCounter} the day count convention for the
fixed leg (default is Thirty360), and \code{fixFreq}, fixed coupon frequecny (defualt is Annual),
\code{floatFreq}, floating leg reset frequency (default is Semiannual).
}
\item{tsUp01}{Discount for a user specied up move in rates.}
\item{tsDn01}{Discount for a user specied down move in rates.}
\item{vega}{Discount for a user specied up move.}
}
\value{
\code{SabrSwaption} returns a list containing the value of the payer and receiver swaptions at the
strike specified in \code{params}.
\item{NPV}{NPV of swaption in basis points (actual price
equals \code{price} times notional divided by 10,000)}
\item{strike}{swaption strike}
\item{params}{Input parameter list}
\item{atmRate}{fair rate for swap at swap start date for european or fair swap rate
for swap at expiration for bermudan}
\item{vol}{vol for swaption at swap start date and rate strike for european or vol for swaption
for given expiration and strike for bermudan}
\item{rcvDv01}{reveiver value for a change in rates defined by dv01Up}
\item{payDv01}{payer value for a change in rates defined by dv01Up}
\item{rcvCnvx}{reveiver second order value change for a change in rates defined by dv01Up & dv01Dn}
\item{payCnvx}{payer second order value for a change in rates defined by dv01Up & dv01Dn}
\item{strike}{swaption strike}
}
\details{
This function is based on \code{QuantLib} Version 1.64. It
introduces support for fixed-income instruments in \code{RQuantLib}.
}
\references{
Brigo, D. and Mercurio, F. (2006) \emph{Interest Rate Models: Theory and
Practice, 2nd Edition}, Springer-Verlag, New York.
For information about \code{QuantLib} see \url{https://www.quantlib.org/}.
For information about \code{RQuantLib} see
\url{http://dirk.eddelbuettel.com/code/rquantlib.html}.
}
\author{Terry Leitch}
\seealso{\code{\link{AffineSwaption}}}
\examples{
params <- list(tradeDate=as.Date('2016-2-15'),
settleDate=as.Date('2016-2-17'),
startDate=as.Date('2017-2-17'),
maturity=as.Date('2022-2-17'),
european=TRUE,
dt=.25,
expiryDate=as.Date('2017-2-17'),
strike=.02,
interpWhat="discount",
interpHow="loglinear")
# Set leg paramters for generating discount curve
dclegparams=list(dayCounter="Thirty360",
fixFreq="Annual",
floatFreq="Semiannual")
setEvaluationDate(as.Date("2016-2-15"))
times<-times <- seq(0,14.75,.25)
data(tsQuotes)
dcurve <- DiscountCurve(params, tsQuotes, times=times,dclegparams)
# Price the Bermudan swaption
swaplegparams=list(fixFreq="Semiannual",floatFreq="Quarterly")
data(vcube)
pricing <- SabrSwaption(params, dcurve,vcube,swaplegparams)
pricing
}
\keyword{models}
|
