added some swaptions

nhaga · Feb 1, 2020 · eb2dc61 · eb2dc61
1 parent 594dc6e
commit eb2dc61
Showing 1 changed file with 31 additions and 0 deletions.
diff --git a/docs/instruments/swaptions.rst b/docs/instruments/swaptions.rst
@@ -1,9 +1,40 @@
 Swaptions
 *********
 
+**Exercises**
+
+- `ql.EuropeanExercise(start)`
+- `ql.AmericanExercise(earliestDate, latestDate)`
+- `ql.BermudanExercise(dates)`
+
+**Settlement**
+
+- `ql.Settlement.Cash`
+- `ql.Settlement.CollateralizedCashPrice`
+- `ql.Settlement.ParYieldCurve`
+- `ql.Settlement.Physical`
+- `ql.Settlement.PhysicalCleared`
+- `ql.Settlement.PhysicalOTC`
+
+
 Swaption
 --------
 
+.. function:: ql.Swaption(swap, exercise, settlement=PhysicalOTC)
+
+.. code-block:: python
+
+  calendar = ql.TARGET()
+  today = ql.Date().todaysDate()
+  exerciseDate = calendar.advance(today, ql.Period('5y'))
+  exercise = ql.EuropeanExercise(exerciseDate)
+  swap = ql.MakeVanillaSwap(ql.Period('5y'), ql.Euribor6M(), 0.05, ql.Period('5y'))
+  swaption = ql.Swaption(swap, exercise)
+
+
 Nonstandard Swaption
 --------------------
 
+
+FloatFloatSwaption
+------------------