price_swaption: Swaptions prices

In ArnaudBu/esg2: Esg Based on a G2++ Model

Description

price_swaption prices a swaption according to the g2++ model.

Usage

price_swaption(.Object, freqS, matS, tenorS)

Arguments

.Object	G2 object. The object whose model is to be projected.
freqS	Numeric. Swaption frequence, as the number of payments per period.
matS	Numeric. Maturity of the swaption.
tenorS	Numeric. Tenor of the swaption.

Value

The price of the swaption

Examples

rates <- c(-0.00316,-0.00269,-0.00203,-0.00122,
-0.00022,0.00092,0.00215,0.00342,0.00465,0.00581,0.00684,
0.00777,0.00861,0.00933,0.00989,0.0103,0.01061,0.01092,
0.01127,0.0117,0.01222,0.01281,0.01345,0.01411,0.01478,
0.01546,0.01613,0.01679,0.01743,0.01806,0.01867,0.01926,
0.01983,0.02038,0.02092,0.02143,0.02192,0.02239,0.02285,
0.02329,0.02371,0.02411,0.0245,0.02488,0.02524,0.02558,
0.02592,0.02624,0.02655,0.02685)
curve <-curvezc(rates, "continuous")
g2model <- g2(curve, a=0.773511777, b=0.082013014,
sigma=0.022284644, eta =0.010382461, rho =-0.701985206)
g2model <- project(g2model)
price_swaption <- price_swaption(g2model, 2, 3, 3)

ArnaudBu/esg2 documentation built on Oct. 20, 2021, 10:01 a.m.