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oIRswpn_IV( ) - Interest Rate Swaption Implied Volatility Function

Component

Resolution - IRO Pricing

 

 

Function Definition

oIRswpn_IV(SwpnType, ValueDate, MaturityDate, ParSwapRate, FixedLegRate, SwaptionValue, PaymentFreq, AccrualBasis, SwapMap)

Calculates the implied volatility of the swaption.

 

 

IRO Types

Interest rate swaptions.

 

 

Function Parameters

 

Parameters

Description

 

Parameter Type

 

Restrictions

.

SwpnType

 

Specifies whether the underlying asset of the (long) swaption is a payer or receiver swap. A payer swap pays fixed and receives floating.

 

Enumerated Constant

1 - Payer
2 - Receiver

ValueDate

 

The valuation date of the swaption.

 

Date

 

ValDate < MatDate

MaturityDate

 

The maturity date of the swaption.

 

Date

 

ValDate < MatDate

ParSwapRate

 

The par swap rate for the underlying swap.

 

Double

 

ParSwapRate >= 0

FixedLegRate

 

The rate for the fixed leg of the underlying swap.

 

Double

 

FixedLegRate >= 0

SwaptionValue

 

The fair value of the swaption.

 

Double

 

SwaptionValue >= 0

PaymentFreq

 

The frequency of the underlying swap's payments.

 

Enumerated Constant

 

1 - Annual
2 - Semi-Annual
3 - Quarterly
4 - Monthly
5 - Bi-Weekly
6 - Weekly

AccrualBasis

 

Basis for determining payment amounts and accrued interest.

See Day Count Conventions

 

Enumerated Constant

 

1 - Act/Act (actual)
2 - Act/Act (bond)
3 - Act/360
4 - Act/365
5 - Act/365 ISDA
6 - Act/365 JGB (NL)
7 - 30/360 ISDA
8 - 30/360 PSA
9 - 30E/360
10 - 30E+/360
11 - Act/365L

SwapMap

 

Range of three columns consisting of the Notional, Tenor, and Discount Factor. Each column should contain an entry for each of the payments in the underlying swap.

 

Curve

 

Should normally be generated using swaption map function

 

 

 

 

 

 

 

See Also

Parameter Types

oIRswpn_Price( ) - Interest Rate Swaption Price Function

oIRswpn_Map( ) - Interest Rate Swaption Map Function

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