Class NormalSwaptionPhysicalProductPricer

  • public class NormalSwaptionPhysicalProductPricer
    extends VolatilitySwaptionPhysicalProductPricer
    Pricer for swaption with physical settlement in a normal model on the swap rate.

    The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

    The volatility parameters are not adjusted for the underlying swap convention.

    The value of the swaption after expiry is 0. For a swaption which has already expired, a negative number is returned by SwaptionVolatilities.relativeTime(ZonedDateTime).

    • Constructor Detail

      • NormalSwaptionPhysicalProductPricer

        public NormalSwaptionPhysicalProductPricer​(DiscountingSwapProductPricer swapPricer)
        Creates an instance.
        swapPricer - the pricer for Swap
    • Method Detail

      • impliedVolatilityFromPresentValue

        public double impliedVolatilityFromPresentValue​(ResolvedSwaption swaption,
                                                        RatesProvider ratesProvider,
                                                        DayCount dayCount,
                                                        double presentValue)
        Computes the implied normal volatility from the present value of a swaption.

        The guess volatility for the start of the root-finding process is 1%.

        swaption - the product
        ratesProvider - the rates provider
        dayCount - the day-count used to estimate the time between valuation date and swaption expiry
        presentValue - the present value of the swaption product
        the implied volatility associated with the present value