Questions tagged [swaption]
The swaption tag has no usage guidance.
116
questions
2
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0answers
42 views
Swaption extrapolation
I have some ATM swaption volatilities with the following characteristics:
(-IBOR) payment frequency: 1M
Underlying swap maturities (tail): 1Y, 2Y, 5Y, 10Y, 15Y and 20Y
Swaption expiries: 1M, 3M, 6M, ...
1
vote
0answers
39 views
Greeks of caps,floors and swaptions
I will have an interview for a junior position as interest rates volatility trader.
I would like ask you some questions about greeks of caps floors and swaptions.
Are Caps vega positive? Are floors ...
0
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0answers
23 views
Swaption model giving flat bachelier implied curve
I am working on interest rate models and was curious to Know if there exists a model giving a constant surface of implied volatilities.
The implied volatiliy is taken as a normal (bachelier) ...
0
votes
0answers
32 views
Free swaps/swaptions data
I would like to play around a bit with some yield curve models. I am looking for a way to get a hold of free swaps/swaptions data. Obviously, the quality does not have to be super good, I am merely ...
6
votes
3answers
493 views
Trading desk assumes zero percent discount rate?
All the swaption and option models I have encountered at my employer's trading desks have assumed a zero percent discount rate. I have proposed using the LIBOR curve, but management responded that &...
0
votes
1answer
56 views
Swaption on Forward-Starting Swap “Replication”?
Lately I was thinking about forward-starting swaptions vs. options on forward-starting swaps a bit, and I started wondering about the following:
Suppose we are at time $T_0$ (today) and we want to ...
0
votes
0answers
51 views
How to interpolate implied swaption volatilities between maturities for SABR?
I want to interpolate the swaption volatility surface (fixed tenor) in the maturity dimension. I have volatility smiles at times T1 and T2, and would like to get the smile at time T with T1<T<T2 ...
1
vote
1answer
78 views
Swaption decomposition - forward options and option on options
I am following through the book "An Introduction to Financial Derivatives" by Salih Neftci. According to the book, a swap can be decomposed into cash flows from forwards and options.
I am ...
6
votes
0answers
195 views
Volatility adjustment for SOFR/OIS caplet referencing LIBOR vol
Suppose that today the price of a 3m LIBOR caplet with 6m expiry has been calibrated with a particular implied volatility.
How would one go about thinking about an adjustment to that volatility to ...
1
vote
2answers
490 views
What are “greeks” in general for non-standard options (swaptions, capfloors, etc)
I know what greeks are for standard options: just take the derivative with respect to some parameter, like spot, time, rate, etc.
But how does one calculate greeks for swaptions and capfloors? I was ...
1
vote
0answers
94 views
Hull white model calibration - constant mean reverse factor and sigma
I setup a HW 1F model using Monte Carlo simulation with constant mean reversion and volatility factors. When I calibrate to a series of swaptions ( 1x4yr;2x3yr;3x2yr;4x1yr),the last three swaption ...
0
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0answers
27 views
What is the meaning of these parameters in the Valuation class?
I am studying the valuation engine for a typical IR Swaption named G2SwaptionEngine.
The class reference is available in :
https:...
0
votes
1answer
57 views
Replication of European swaption
Suppose we have a European payer swaption with 5-year maturity and 10-year tenor. The underlying is clearly the 10-year tenor payer swap. Does it mean that to replicate the swaption I need to ...
0
votes
1answer
270 views
Instrument valuation using Monte Carlo simulation with Quantlib
I am looking for some example to value an American swaption using monte carlo simulation of ...
0
votes
0answers
41 views
VolCube in RQuantLib
Working with RQuantLib for the first time and trying to understand how the Swaption Vol Cube is being built. I am looking at volCF2CubeK.R file and my general understanding is that we are collecting ...
2
votes
1answer
265 views
Pricing Swaption Analytically using Libor Market Model
I was asked the following question in a recent interview: "(i) Express a forward swap rate in terms of forward Libor rates. (ii) Apply Ito's lemma to this expression to derive the process for the ...
1
vote
1answer
267 views
QuantLib Swaption Vol Cube
I am currently trying to price swaptions under QuantLib/Python using a volatility cube using ql.SwaptoinVolCube2. From the documentation:
...
3
votes
3answers
408 views
Which measure is used to price a swap?
When we value the floating leg of a standard vanilla swap, we replace the expectation of the future floating rates by the forward rates known today. However my understanding is that the forward rate ...
3
votes
2answers
185 views
RFR discounting - swaption compensation
Later this month the discount rate for EUR interest rate instruments changes from Eonia to EuroSTR. In October SOFR replaces EFFR. These changes will affect the value of uncleared swaptions and ...
0
votes
1answer
150 views
Historical PNL using Taylor Expansion for Gamma Ladders
I have DV01 and Gamma Ladder for IR Swaptions and the historical market data of the underlying swap curve. Can someone please help me understand how to calculate historical PNL using taylor expansion ...
0
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0answers
36 views
Black model with negative strike price
Whats the issue if we try to price a swaption with a negative strike using Black model?
0
votes
1answer
94 views
Inequality involving Co-Terminal/Co-Initial American vs Bermudan Swaptions
Let us consider a payment schedule $\mathcal{P}:=\{t_1,\dots,t_n\}$ which has a corresponding fixing schedule $\mathcal{F}:=\{t_0,\dots,t_{n-1}\}$. We have a series of co-terminal and co-initial swaps ...
2
votes
1answer
79 views
What is the industry standard model for pricing Swaptions during this time of negative interest rates, normal model or shifted log-normal model?
I have referred to the some of the well known papers but none of them has a clear answer for my question. I know that both of these models have some disadvantages but, what is the industry standard ...
0
votes
1answer
82 views
Swaptions vols,object using quantlib xl
How can I build a good vol surface using QuantlibXl?
My goal is to price a swaption 5 year with option maturity 1Y1M.
The data are:
1
vote
2answers
152 views
Normal vs. Lognormal Greeks for Negative Rates Options
My understanding is that for some of the G10 currencies with negative rates (CHF, EUR), Swaption and Cap / Floor prices are quoted in terms of BOTH, normal and log-normal Vols. That in itself is not ...
2
votes
1answer
505 views
How to compute forward swap rates?
I am trying to compute shocks on the forward swap rates based on shocks to the swap rate curve (aiming at repricing consistently a set of swaps and swaptions based on a shock to the swap curve):
It ...
0
votes
1answer
40 views
Call Probability of European callable IRS
When pricing a callable IRS (say only one call date) with a diffusion model (e.g. HW 1F) with a Montecarlo resolution, one can get the call probability on the call date versus maturing the date (which ...
1
vote
0answers
86 views
How to use quantlib Excel for valuation of european swaption with vol surface to calibrate?
I would like to replicate the following Bloomberg pricer in quantlib using Quantlib xl. Is it possible?
Thanks
1
vote
1answer
320 views
Swaption Vol surface
¿How can I get the implied vol from a swaption when I have a vol surface with the maturity of the option and the tenor of the swap? For example I want to know what is the volatility for a swaption ...
3
votes
1answer
127 views
Implied/Realised Vol ratio for negative rates?
I'm trying to calculate the implied vs realised vol ratio for different swaptions across major currencies. This works fine for the likes of USD and GBP as rates are positive. However I'm struggling ...
0
votes
1answer
106 views
Why does changing the evaluationDate multiple times lead to a performance lag?
I am simulating an swaption strategy through time. Following the examples in the Python Quantlib cookbook, as I progress through time I am updating the internal evaluation date
...
0
votes
1answer
790 views
European Swaption Pricing Using Normal volatilities
On page 6 of this paper a forumla is given for payer swaptions, I am just wondering what is the formula for receiver?
My implementation of the formula for payer and receiver is here, but I am not ...
3
votes
1answer
365 views
QuantLib: Which CalibrationHelper to use for Normal Volatilities
I am using the SwaptionHelper class to create the swaptions.
Reading the documentation: https://www.quantlib.org/reference/class_quant_lib_1_1_swaption_helper.html
I realize that one of the ...
0
votes
1answer
204 views
Constructing Daily Term Structure
I am very new to QuantLib and am trying to do Swaption Model calibration following the example here:http://gouthamanbalaraman.com/blog/short-interest-rate-model-calibration-quantlib.html
Appreciate ...
6
votes
0answers
538 views
Swaptions on SONIA/SOFR/ESTR
Given that LIBOR is being decommissioned and we must start building liquidity in swaptions on the OIS swaps, how do we price them? i.e. If I have a swaption on SONIA/SOFR/ESTR etc how does the pricing ...
0
votes
1answer
255 views
What happens to both sides of an inflation swap agreement if there is deflation?
If there is deflation does the Inflation receiver not only pay the fixed leg but also receives a reduced CPI?
I.e. does he lose twice?
1
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0answers
86 views
PV01 of physically-settled swaption
Can we say that the PV01 of the physically-settled swaption is equal to the annuity / discount factor?
1
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0answers
57 views
PV01 of Physically settled Swaptions contrat
Can you please help me figure out how to find PV01 Physically settled Swaptions contract 20Y30Y with fwd rate 0.01974 with fixed freq=2, using ACT/360 with 02/08/2019 -> 02/08/2039 and 02/08/2069 ...
1
vote
1answer
119 views
Hedging convexity for long-dated fixed cashflows
I'm wondering what are the different ways of hedging the convexity in fixed long-dated cashflows (maturity > last liquid point). Also, if you'd say receiver swaptions would be the way to go, could you ...
1
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0answers
68 views
Swaption pricing and strategies
I am looking for resources (books, papers, websites, etc.) that deal with Vanilla and Exotic swaptions from a more advanced and quantitative perspective. I am interested in both the pricing side (e.g. ...
3
votes
1answer
549 views
What is upper left vol?
First time question, so please let me know if you have feedback for how I am asking.
I am reading a market research piece and it makes reference to the performance of "vol, particularly the upper ...
1
vote
2answers
2k views
Forward swap rate calculation from the market
Following my question
Swaption valuation across time using vcub
where I wanted to know how to value a swaption across time using bloomberg's vcub, I remark that I have to calculate myself the ...
1
vote
1answer
975 views
Swaption valuation across time using vcub
On Bloomberg one has access to the rates vol cube with the VCUB function. For a given currency, today, one sees Black implied volatilities for swaptions of various expiries and strikes, for forward ...
0
votes
0answers
3k views
Swaption : Bloomberg Black implied volatility quotes and pricing in the Black model
I used a lot Bloomberg's VCUB for data, but never used its integrated swaption pricer "Quick Pricer for Swaptions", nor Bloomberg's "full" swaption pricer from "SWPM -OV".
I am retrospectively quite ...
1
vote
1answer
528 views
Bermudan Swaption
Is there an equation of the kind of call-put parity for Bermudean swaptions ? (maybe an inequality )
Is there an intuitive description of what would be an optimal exercise moment ? Intuitively I ...
1
vote
0answers
151 views
SABR for swaptions
We calibrate SABR on each expiry and tenor combination using market data. (e.g. 1mx10y, 3mx10y etc.) Then how about the non-standard expiry like 2.5mx10y? Do I linear interpolate the alpha, beta, rou ...
1
vote
1answer
967 views
Volatility surface for Swaptions
I understand the volatility surface for swaption is built using implied vols of ATM swaptions. I had a question on the instruments that are used.
Should the instruments used change depending on the ...
0
votes
0answers
161 views
Moneyness for Cancellable Swaps
Hi I wanted to know we can assess the moneyness of Cancellable swaps?
For example, I have a swap where I am paying the fixed rate and also have an option to cancel this option. How do I assess the ...
1
vote
1answer
57 views
Port a model dependent swaption sensitivity to a new model
I have a short rate model in which I have (among others) the following metric (for leverages) for a swaption : $$L = \frac{\frac{\partial}{\partial r}V_0^{\textrm{Swaption}}}{\frac{\partial}{\partial ...
1
vote
1answer
353 views
Can the value of a swaption at any time become more negative than the swaption premium?
I am interpolating swaption values as a function of parallel shifts in interest rate and have come across some peculiar shaped options among the data I have at hand.
Here is an example of a simple ...
