Re: [Quantlib-users] greeks with swaptionvolcube2

[Aleksis A. R. <ale...@go...>]

Sure, essentially it’s run off this class:

class bermudanswaption():

    def __init__(self, calendar,settlement, used_model, swap, ratecurves, index, swvolcube_clean, swapbase,
                 mean_reversion,position):

        discount_curve = ratecurves.loc['discountcurve', 'ratecurves']
        self.swvolcube = swvolcube_clean
        self.swapbase = swapbase
        self.used_model = used_model
        self.discount_curve = discount_curve
        self.position=position

        fixed_schedule=swap.fixedSchedule()
        exerciseDates = [calendar.advance(i, -ql.Period('2D')) for i in fixed_schedule][1:-1]
        exercise = ql.BermudanExercise(exerciseDates)
        stepDates = exerciseDates
        self.exerciseDates=exerciseDates
        sigmas = [ql.QuoteHandle(ql.SimpleQuote(0.01))]*(1+len(exerciseDates))
        self.used_model = used_model

        if settlement == 'physical':
            type = 0
            method = 1
        else:
            type = 1
            method = 3

        self.nsswaption = ql.NonstandardSwaption(swap, exercise, type, method)
        gsr = ql.Gsr(ratecurves.loc[index, 'ratecurves'],
                     stepDates, sigmas, [ql.QuoteHandle(ql.SimpleQuote(mean_reversion))])
        engine = ql.Gaussian1dNonstandardSwaptionEngine(gsr, 64, 7.0, True, False,
                                                        ql.QuoteHandle(ql.SimpleQuote(0)),
                                                        discount_curve, 2)
        self.engine = ql.Gaussian1dSwaptionEngine(gsr, 64, 7.0, True, False, discount_curve)
        self.nsswaption.setPricingEngine(engine)
        self.model = gsr




> On 8 Jun 2020, at 15:50, Christofer Bogaso <bog...@gm...> wrote:
> 
> Hi, could you please share your python code? Thanks,
> 
> On Mon, Jun 8, 2020 at 8:00 PM Aleksis Ali Raza via QuantLib-users <qua...@li... <mailto:qua...@li...>> wrote:
> Hi. In case anyone has an explanation: I get a jagged behaviour in a my greeks when I define a (what is to my knowledge sensible) swaption smile using swaptionvolcube2.
> 
> The greeks are being calculated by source bumping (using a 1bp shift for the rate delta, shown below along with the NPV). The behaviour isn’t too sensitive to the bump size.
> 
> Portfolio 1 consists of a 1y4y otm payer swaption and Portfolio 2 of a same strike 5y otm bermudan swaption with annual calls (both valued using the Hull-White GSR model calibrated to the swaption vol cube with MaturityStrikeByDeltaGamma mode). 
> 
> The code is in Python.
> 
> Thanks, Aleksis
>  
> 
> <optionanalysis_rate.png>
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