Re: [Quantlib-dev] [Quantlib-users] Retrieve implied swaptions vol from swaption price

[Luigi B. <lui...@gm...>]

I was about to suggest to use a root solver from scipy, but I see from
Stack Overflow that you already did...

Luigi


On Sat, Jun 1, 2019 at 12:15 PM Robin Schreur <rob...@ho...>
wrote:

> Hi All,
>
> I have posted an question at stack exchange regarding retrieving the
> implied swaption vol from a swaption price (
> https://stackoverflow.com/questions/56362943/retrieving-black-vol-from-quantlib-bachelierswaption-price).
> Probably the mailinglist has more users who have an answer.
>
> My question:
>
> I want to retrieve a Black Vol from a swaption price calculated by the
> Quantlib BachelierSwaptionEngine. It looks like this can be done in
> Quantlib via an optimizer (such as the newton method) or direct via the
> impliedVolatility method. I'm unable to use the Quantlib optimizer or the
> impliedVolatility method within Quantlib Python.
>
> The code below shows how I calculate the swaption price in Quantlib. From
> there I need to retrieve a Black vol based on the swaption price calculated
> in the code
>
> calc_date = ql.Date(29,3,2019)
>
> rate = ql.SimpleQuote(0.01)
> rate_handle = ql.QuoteHandle(rate)
> dc = ql.Actual365Fixed()
> spot_curve = ql.FlatForward(calc_date, rate_handle, dc)
>
> start = 10
> length = 10
> start_date =  ql.TARGET().advance(calc_date, start, ql.Years)
> maturity_date = start_date + ql.Period(length, ql.Years)
> fixed_schedule = ql.Schedule(start_date, maturity_date,
>                       ql.Period(1, ql.Years), ql.TARGET(), ql.Unadjusted,
>                       ql.Unadjusted,ql.DateGeneration.Forward, False)
> floating_schedule = ql.Schedule(start_date, maturity_date,
>                         ql.Period(6, ql.Months), ql.TARGET(),
>                         ql.ModifiedFollowing, ql.ModifiedFollowing,
>                         ql.DateGeneration.Forward, True)
>
> rate = 1.45 / 100
> swap = ql.VanillaSwap(ql.VanillaSwap.Receiver, 10000000,
>                fixed_schedule, rate, ql.Thirty360(ql.Thirty360.BondBasis),
>                floating_schedule, index6m, 0.0, index6m.dayCounter())
>
> swap.setPricingEngine(ql.DiscountingSwapEngine(
> ql.YieldTermStructureHandle(spot_curve)))
>
>
> swaption_normal_model = ql.Swaption(swap,
>   ql.EuropeanExercise(swap.startDate()))
>
>
> normal_vol = ql.SimpleQuote(0.005266)
> swaption_normal_model.setPricingEngine(ql.BachelierSwaptionEngine(ql.YieldTermStructureHandle(spot_curve),
> ql.QuoteHandle(normal_vol)))
> swaption_normal_model_value = swaption_normal_model.NPV()
>
>
> Many thanks,
>
> Robin
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