Swaption Volatility

ConstantSwaptionVolatility

Constant swaption volatility, no time-strike dependence.

floating reference date, floating market data

ql.ConstantSwaptionVolatility(settlementDays, cal, bdc, volatility, dc, type=ql.ShiftedLognormal, shift=0.0)

fixed reference date, floating market data

ql.ConstantSwaptionVolatility(settlementDate, cal, bdc, volatility, dc, type=ql.ShiftedLognormal, shift=0.0)

floating reference date, fixed market data

ql.ConstantSwaptionVolatility(settlementDays, cal, bdc, volatilityQuote, dc, type=ql.ShiftedLognormal, shift=0.0)

fixed reference date, fixed market data

ql.ConstantSwaptionVolatility(settlementDate, cal, bdc, volatilityQuote, dc, type=ql.ShiftedLognormal, shift=0.0)

constantSwaptionVol = ql.ConstantSwaptionVolatility(2, ql.TARGET(), ql.ModifiedFollowing, ql.QuoteHandle(ql.SimpleQuote(0.55)), ql.ActualActual())

SwaptionVolatilityMatrix

At-the-money swaption-volatility matrix.

floating reference date, floating market data

ql.SwaptionVolatilityMatrix(calendar, bdc, optionTenors, swapTenors, vols (Handles), dayCounter, flatExtrapolation=false, type=ShiftedLognormal, shifts (vector))

fixed reference date, floating market data

ql.SwaptionVolatilityMatrix(referenceDate, calendar, bdc, optionTenors, swapTenors, vols (Handles), dayCounter, flatExtrapolation=false, type=ShiftedLognormal, shifts (vector))

floating reference date, fixed market data

ql.SwaptionVolatilityMatrix(calendar, bdc, optionTenors, swapTenors, vols (matrix), dayCounter, flatExtrapolation=false, type=ShiftedLognormal, shifts (matrix))

fixed reference date, fixed market data

ql.SwaptionVolatilityMatrix(referenceDate, calendar, bdc, optionTenors, swapTenors, vols (matrix), dayCounter, flatExtrapolation=false, type=ShiftedLognormal, shifts (matrix))

fixed reference date and fixed market data, option dates

ql.SwaptionVolatilityMatrix(referenceDate, calendar, bdc, optionDates, swapTenors, vols (matrix), dayCounter, flatExtrapolation=false, type=ShiftedLognormal, shifts (matrix))

# market Data 07.01.2020

swapTenors = [
    '1Y', '2Y', '3Y', '4Y', '5Y',
    '6Y', '7Y', '8Y', '9Y', '10Y',
    '15Y', '20Y', '25Y', '30Y']

optionTenors = [
    '1M', '2M', '3M', '6M', '9M', '1Y',
    '18M', '2Y', '3Y', '4Y', '5Y', '7Y',
    '10Y', '15Y', '20Y', '25Y', '30Y']

normal_vols = [
    [8.6, 12.8, 19.5, 26.9, 32.7, 36.1, 38.7, 40.9, 42.7, 44.3, 48.8, 50.4, 50.8, 50.4],
    [9.2, 13.4, 19.7, 26.4, 31.9, 35.2, 38.3, 40.2, 41.9, 43.1, 47.8, 49.9, 50.7, 50.3],
    [11.2, 15.3, 21.0, 27.6, 32.7, 35.3, 38.4, 40.8, 42.6, 44.5, 48.6, 50.5, 50.9, 51.0],
    [12.9, 17.1, 22.6, 28.8, 33.5, 36.0, 38.8, 41.0, 43.0, 44.6, 48.7, 50.6, 51.1, 51.0],
    [14.6, 18.7, 24.6, 30.1, 34.2, 36.9, 39.3, 41.3, 43.2, 44.9, 48.9, 51.0, 51.3, 51.5],
    [16.5, 20.9, 26.3, 31.3, 35.0, 37.6, 40.0, 42.0, 43.7, 45.3, 48.8, 50.9, 51.4, 51.7],
    [20.9, 25.3, 30.0, 34.0, 37.0, 39.5, 41.9, 43.4, 45.0, 46.4, 49.3, 51.0, 51.3, 51.9],
    [25.1, 28.9, 33.2, 36.2, 39.2, 41.2, 43.2, 44.7, 46.0, 47.3, 49.6, 51.0, 51.3, 51.6],
    [34.0, 36.6, 39.2, 41.1, 43.2, 44.5, 46.1, 47.2, 48.0, 49.0, 50.3, 51.3, 51.3, 51.2],
    [40.3, 41.8, 43.6, 44.9, 46.1, 47.1, 48.2, 49.2, 49.9, 50.5, 51.2, 51.3, 50.9, 50.7],
    [44.0, 44.8, 46.0, 47.1, 48.4, 49.1, 49.9, 50.7, 51.4, 51.9, 51.6, 51.4, 50.6, 50.2],
    [49.6, 49.7, 50.4, 51.2, 51.8, 52.2, 52.6, 52.9, 53.3, 53.8, 52.6, 51.7, 50.4, 49.6],
    [53.9, 53.7, 54.0, 54.2, 54.4, 54.5, 54.5, 54.4, 54.4, 54.9, 53.1, 51.8, 50.1, 49.1],
    [54.0, 53.7, 53.8, 53.7, 53.5, 53.6, 53.5, 53.3, 53.5, 53.7, 51.4, 49.8, 47.9, 46.6],
    [52.8, 52.4, 52.6, 52.3, 52.2, 52.3, 52.0, 51.9, 51.8, 51.8, 49.5, 47.4, 45.4, 43.8],
    [51.4, 51.2, 51.3, 51.0, 50.8, 50.7, 50.3, 49.9, 49.8, 49.7, 47.6, 45.3, 43.1, 41.4],
    [49.6, 49.6, 49.7, 49.5, 49.5, 49.2, 48.6, 47.9, 47.4, 47.1, 45.1, 42.9, 40.8, 39.2]
]

swapTenors = [ql.Period(tenor) for tenor in swapTenors]
optionTenors = [ql.Period(tenor) for tenor in optionTenors]
normal_vols = [[vol / 10000 for vol in row] for row in normal_vols]

calendar = ql.TARGET()
bdc = ql.ModifiedFollowing
dayCounter = ql.ActualActual()
swaptionVolMatrix = ql.SwaptionVolatilityMatrix(
    calendar, bdc,
    optionTenors, swapTenors, ql.Matrix(normal_vols),
    dayCounter, False, ql.Normal)

SwaptionVolCube1

SwaptionVolCube2

ql.SwaptionVolCube2(atmVolStructure, optionTenors, swapTenors, strikeSpreads, volSpreads, swapIndex, shortSwapIndex, vegaWeightedSmileFit)

optionTenors = ['1y', '2y', '3y']
swapTenors = [ '5Y', '10Y']
strikeSpreads = [ -0.01, 0.0, 0.01]
volSpreads = [
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
    [0.5, 0.55, 0.6],
]


optionTenors = [ql.Period(tenor) for tenor in optionTenors]
swapTenors = [ql.Period(tenor) for tenor in swapTenors]
volSpreads = [[ql.QuoteHandle(ql.SimpleQuote(v)) for v in row] for row in volSpreads]

swapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(1, ql.Years), e6m_yts, ois_yts)
shortSwapIndexBase = ql.EuriborSwapIsdaFixA(ql.Period(1, ql.Years), e6m_yts, ois_yts)
vegaWeightedSmileFit = False

volCube = ql.SwaptionVolatilityStructureHandle(
    ql.SwaptionVolCube2(
        ql.SwaptionVolatilityStructureHandle(swaptionVolMatrix),
        optionTenors,
        swapTenors,
        strikeSpreads,
        volSpreads,
        swapIndexBase,
        shortSwapIndexBase,
        vegaWeightedSmileFit)
)
volCube.enableExtrapolation()

SwaptionVolatilityStructureHandle

ql.SwaptionVolatilityStructureHandle(swaptionVolStructure)

swaptionVolHandle = ql.SwaptionVolatilityStructureHandle(swaptionVolMatrix)

RelinkableSwaptionVolatilityStructureHandle

ql.RelinkableSwaptionVolatilityStructureHandle()

handle = ql.RelinkableSwaptionVolatilityStructureHandle()
handle.linkTo(swaptionVolMatrix)