## Bermudan swaption valuation using several short-rate models
# This data replicates sample code shipped with QuantLib 0.3.10 results
params <- list(tradeDate=as.Date('2002-2-15'),
settleDate=as.Date('2002-2-19'),
startDate=as.Date('2003-2-19'),
maturity=as.Date('2008-2-19'),
dt=.25,
payFixed=TRUE,
strike=.05,
method="G2Analytic",
interpWhat="discount",
interpHow="loglinear")
setEvaluationDate(as.Date('2002-2-15'))
# Market data used to construct the term structure of interest rates
tsQuotes <- list(d1w =0.05,
# d1m =0.0372,
# fut1=96.2875,
# fut2=96.7875,
# fut3=96.9875,
# fut4=96.6875,
# fut5=96.4875,
# fut6=96.3875,
# fut7=96.2875,
# fut8=96.0875,
s3y =0.05,
s5y =0.05,
s10y =0.05,
s15y =0.05)
times=seq(0,14.75,.25)
swcurve=DiscountCurve(params,tsQuotes,times)
# Use this to compare with the Bermudan swaption example from QuantLib
#tsQuotes <- list(flat=0.04875825)
# Swaption volatility matrix with corresponding maturities and tenors
swaptionMaturities <- c(1,2,3,4,5)
swapTenors <- c(1,2,3,4,5)
volMatrix <- matrix(
c(0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
0.1000, 0.0950, 0.0900, 0.1230, 0.1160),
ncol=5, byrow=TRUE)
volMatrix <- matrix(
c(rep(.20,25)),
ncol=5, byrow=TRUE)
# Price the Bermudan swaption
pricing <- BermudanSwaption(params, ts=.05,
swaptionMaturities, swapTenors, volMatrix)
summary(pricing)
