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| -rw-r--r-- | python/exploration/test_swaption.py | 18 |
1 files changed, 18 insertions, 0 deletions
diff --git a/python/exploration/test_swaption.py b/python/exploration/test_swaption.py new file mode 100644 index 00000000..acaec705 --- /dev/null +++ b/python/exploration/test_swaption.py @@ -0,0 +1,18 @@ +from quantlib.time.api import Date, Period, Years +from yieldcurve import YC +from quantlib.indexes.swap.usd_libor_swap import UsdLiborSwapIsdaFixAm +from quantlib.instruments.make_swaption import MakeSwaption +from quantlib.pricingengines.api import BlackSwaptionEngine +from quantlib.instruments.swap import Receiver + +yc = YC() +index1 = UsdLiborSwapIsdaFixAm(Period(2, Years), yc) +index2 = UsdLiborSwapIsdaFixAm(Period(10, Years), yc) +swaption1 = (MakeSwaption(index1, Period(2, Years), strike=0.0206). + with_underlying_type(Receiver)()) +swaption2 = (MakeSwaption(index2, Period(10, Years), strike=0.0212). + with_underlying_type(Receiver)()) +pe1 = BlackSwaptionEngine(yc, 0.2987) +pe2 = BlackSwaptionEngine(yc, 0.2830) +swaption1.set_pricing_engine(pe1) +swaption2.set_pricing_engine(pe2) |