Swaptions
Exercises
ql.EuropeanExercise(start)
ql.AmericanExercise(earliestDate, latestDate)
ql.BermudanExercise(dates)
Settlement Type/Method
- ql.Settlement.Cash
ql.Settlement.CollateralizedCashPrice
ql.Settlement.ParYieldCurve
- ql.Settlement.Physical
ql.Settlement.PhysicalCleared
ql.Settlement.PhysicalOTC
Swaption
- ql.Swaption(swap, exercise, settlementType=ql.Settlement.Physical, settlementMethod=ql.Settlement.PhysicalOTC)
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)
swaption = ql.Swaption(swap, exercise, ql.Settlement.Cash, ql.Settlement.ParYieldCurve)
swaption = ql.Swaption(swap, exercise, ql.Settlement.Physical, ql.Settlement.PhysicalCleared)