#69 Irregular Swaption Pricing Engine

None
closed-accepted
None
5
2013-12-02
2012-08-07
Andre Miemiec
No

This code implements the method of Hunt / Kennedy (Finance Stochast. 2, 275–293 (1998)) to find the price of a irregular european swaption;

For getting the code running one has to do some additional work on setting up the instruments expected, i.e. an irregular swap and an irregular swaption. The irregular swap shall be set up by using appropriate legs. Legs are used because here the irregular features can be specified easily. Therefore it is basically derived from the swap and only altered in respect of adding the ususal Payer/Receiver specification.
For the same reason the swaption instrument must be alteres to make it working with this particular type of swap.

Discussion

  • Andre Miemiec
    Andre Miemiec
    2012-08-07

    Added a small revision of the code. The engine can now handle a spread on the floating leg.
    I included also two instruments: an irregular swap and an irregular swaption. Both are required for a consistent setup (compare the original comments)

     
    Last edit: Andre Miemiec 2013-05-30
  • Luigi Ballabio
    Luigi Ballabio
    2013-03-11

    A question before I can apply the patch: who owns the copyright of the code you contributed? Is it you, your employer, your own company...? Posting the copyright attribution I should use, i.e., something like
    Copyright (C) 2010 Random J. Hacker
    or
    Copyright (C) 2010 ACME inc.
    would be best.

     
  • Andre Miemiec
    Andre Miemiec
    2013-03-12

    Dear Luigi,

    the code is mine. So an appropriate copyright should be

    Copyright (C) 2012 Andre Miemiec

    But please keep a reference to the papers I used. It is more useful to others if they can find the appropriate papers.

    Yours sincerely

    A. Miemiec

     
  • Luigi Ballabio
    Luigi Ballabio
    2013-03-19

    Andre,
    are you planning to implement the instrument as well?

    Later,
    Luigi

     
  • Andre Miemiec
    Andre Miemiec
    2013-03-19

    I've done so already. Problem is, that I do not want to create lots of similar instruments in the library. If its is useful I can of course provide the code for the instruments as well. Just give me a hint.

    Yours sincerely
    André

     
  • Luigi Ballabio
    Luigi Ballabio
    2013-12-02

    • status: open --> closed-accepted
    • assigned_to: Luigi Ballabio
    • Group: -->
     
  • Luigi Ballabio
    Luigi Ballabio
    2013-12-02

    Hi Andre,
    I've added your files under ql/experimental/swaptions. We'll have to see how to eventually merge them with the regular swap and swaption.

    Thanks,
    Luigi