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Swaption

Swaption#

class sigtech.framework.instruments.swaption.Swaption

Baseclasses: OTCVolBasedBase

Subclasses: OISSwaption

A class representing a swaption.

Example object creation:

import datetime as dtm
group = sig.SwaptionGroup.get_group("USD")

s = sig.Swaption(
    start_date=dtm.date(2019, 12, 19),
    strike='ATM+10bp',
    expiry='3M',
    swap_tenor='5Y',
    option_type='Receiver',
    swaption_group=group.name,
    currency='USD'
)

The strike could be specified as a plain value, 'ATM' or a basis point offset from ATM, e.g., 'ATM-5bp'. None is interpreted as 'ATM'.

The premium is paid by default on the start_date, but this can be reset by setting forward_premium parameter either to True to imply it from the option value, or directly to the pre-set premium value, to be paid at the option expiry date.

end_date is an optional parameter, used purely for calculation optimisation. (Date when the option position is closed).

history_start is another optional parameter, that allows to start computing option history earlier than the start_date (in case the latter is used for maturity from tenor, or strike computation, but an earlier date value is needed by a strategy)

property all_data_dates

Return all the dates that should have actual history values.

property available_data_points

Available data points

cash_settled_with_swap_rate: Optional[bool]
property default_data_point

Default data point

end_date: Optional[date]
expiry: Union[date, str]
property expiry_date

date contract expires, or last date on which we can trade

forward_premium: Optional[Union[bool, float]]
property greek_fields

Additional fields used for risk management

history_start: Optional[date]
property holidays

List of holiday calendars for this instrument.

option_type: Literal['Payer', 'Receiver']
start_date: date
strike: Optional[Union[float, str]]
swap_tenor: str
swaption_group: Optional[str]
property underlying

Name of the underlying of this swaption.

property valuation_time

Valuation time for the instrument.

dollar_greeks(field, data_point=None, **kwargs) deprecated

Deprecated method returning the dollar timeseries for this option instrument.

Parameters:

  • field – Input greek.

  • data_point – Input data point (optional).

Returns:

pandas series.

get_forwards(data_dates, data_point=None, discount_curves=None, forecast_curves=None)

discount and forecast curves should correspond to the data_dates and data_point if passed in.

greeks(field=None, data_point=None, dollar_greeks=False)

Return the greeks available for this option instrument.

Parameters:

  • field – Input greek (optional, all greeks returned by default).

  • data_point – Input data point (optional).

  • dollar_greeks – Provide dollar greeks, defaults to False.

Returns:

pandas Series for an individual greek, DataFrame otherwise.

metrics(fields=None, data_dates=None, data_point=None)

Get time series of standard swaption metrics, including option Greeks and/or NPV, determined by the fields parameter.

Parameters:

  • fields – Name of a Greek or 'NPV' to output. Can be a list, e.g. ['NPV', 'Delta', 'Vega']. If None is passed, all available metrics are returned. A list of Greeks can be obtained using the property greek_fields. In addition, 'Delta_numeric' and 'Gamma_numeric' can be passed for proper numeric discounting and forecasting curves shift sensitivity, or 'Delta_simple' and 'Gamma_simple' for sensitivity only to swap rate shift, assuming discounting stays the same. (Default 'Delta' and 'Gamma' give quicker approximation for the numeric shifted Delta and Gamma).

  • data_dates – (Optional) Date or list of dates for which the option metrics are needed. If None is passed, the full time series is returned.

  • data_point – (Optional) Valuation data point.

Returns:

Time series of the requested metrics.

par_rates(data_point=None)

Par rates history of the instrument.

Parameters:

data_point – Input data pint (optional).

Returns:

pandas series.

pnl_explain(fields=None, data_point=None)

A breakdown of the actual pnl and greeks pnl over time for a list of fields.

Parameters:

  • fields – Input fields (optional).

  • data_point – Input data point (optional).

Returns:

pandas DataFrame.

settlement_value(data_point=None)

Need to be careful with data_point - for physical settlement it should be the swap start data_point, as we are switching from option to the swap. For cash settled - it should be the settlement time specified in the contract, as we use the market data as of that time to compute the cash settlement amount.

swaption_metrics(fields=None, data_dates=None, data_point=None) deprecated

Deprecated method to get time series of standard swaption metrics, including option Greeks and/or NPV.

trade_group()

Option group used for specifying type of traded options.

vol_surfaces()

Return the vol surface of the swaption.