diff --git a/docs/instruments/swaptions.rst b/docs/instruments/swaptions.rst index 46e2f63..3514031 100644 --- 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 +------------------