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 

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 

AccrualBasis 

Basis for determining payment amounts and accrued interest. 

Enumerated Constant 

1  Act/Act (actual) 

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 
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