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

Description Usage Arguments Value Examples

Swaptions: constructor

1	swaptions(type = "lognormal", curve, mat, tenor, vol, freq = 1)

`type`	Character. Type of volatility: "normal". "lognormal". Default value.
`curve`	ZCCurve. Zero coupon curve to use for pricing.
`mat`	Vector. List of maturities.
`tenor`	Vector. List of tenors.
`vol`	Vector. List of volatilities corresponding to the maturities and tenors.
`freq`	Numeric. Number of payments by period. Default value to 1.

A Swaptions object.

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")
swaptions <- swaptions("lognormal", curve, 1, 1, 0.016735, 1)