Allow swaptions to use OIS as underlying (lballabio#638)

nistick21 · Apr 3, 2024 · 7468a2f · 7468a2f
2 parents 03b3cff + 5ec3887
commit 7468a2f
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Showing 3 changed files with 17 additions and 12 deletions.
diff --git a/SWIG/calibrationhelpers.i b/SWIG/calibrationhelpers.i
@@ -83,12 +83,13 @@ class SwaptionHelper : public BlackCalibrationHelper {
                       const DayCounter& fixedLegDayCounter,
                       const DayCounter& floatingLegDayCounter,
                       const Handle<YieldTermStructure>& termStructure,
-                      BlackCalibrationHelper::CalibrationErrorType errorType
-                                = BlackCalibrationHelper::RelativePriceError,
+                      CalibrationErrorType errorType = RelativePriceError,
                       const Real strike = Null<Real>(),
                       const Real nominal = 1.0,
                       const VolatilityType type = ShiftedLognormal,
-                      const Real shift = 0.0);
+                      const Real shift = 0.0,
+                      Natural settlementDays = Null<Size>(),
+                      RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
     SwaptionHelper(const Date& exerciseDate, const Period& length,
                       const Handle<Quote>& volatility,
@@ -97,12 +98,13 @@ class SwaptionHelper : public BlackCalibrationHelper {
                       const DayCounter& fixedLegDayCounter,
                       const DayCounter& floatingLegDayCounter,
                       const Handle<YieldTermStructure>& termStructure,
-                      BlackCalibrationHelper::CalibrationErrorType errorType
-                                = BlackCalibrationHelper::RelativePriceError,
+                      CalibrationErrorType errorType = RelativePriceError,
                       const Real strike = Null<Real>(),
                       const Real nominal = 1.0,
                       const VolatilityType type = ShiftedLognormal,
-                      const Real shift = 0.0);
+                      const Real shift = 0.0,
+                      Natural settlementDays = Null<Size>(),
+                      RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
     SwaptionHelper(const Date& exerciseDate, const Date& endDate,
                       const Handle<Quote>& volatility,
@@ -111,13 +113,15 @@ class SwaptionHelper : public BlackCalibrationHelper {
                       const DayCounter& fixedLegDayCounter,
                       const DayCounter& floatingLegDayCounter,
                       const Handle<YieldTermStructure>& termStructure,
-                      BlackCalibrationHelper::CalibrationErrorType errorType
-                                = BlackCalibrationHelper::RelativePriceError,
+                      CalibrationErrorType errorType = RelativePriceError,
                       const Real strike = Null<Real>(),
                       const Real nominal = 1.0,
                       const VolatilityType type = ShiftedLognormal,
-                      const Real shift = 0.0);
+                      const Real shift = 0.0,
+                      Natural settlementDays = Null<Size>(),
+                      RateAveraging::Type averagingMethod = RateAveraging::Compound);
 
+    ext::shared_ptr<FixedVsFloatingSwap> underlying() const;
     ext::shared_ptr<VanillaSwap> underlyingSwap() const;
     ext::shared_ptr<Swaption> swaption() const;
 

diff --git a/SWIG/fdm.i b/SWIG/fdm.i
@@ -1406,7 +1406,7 @@ class FdmAffineModelSwapInnerValue : public FdmInnerValueCalculator {
         FdmAffineModelSwapInnerValue(
             const ext::shared_ptr<ModelType>& disModel,
             const ext::shared_ptr<ModelType>& fwdModel,
-            const ext::shared_ptr<VanillaSwap>& swap,
+            const ext::shared_ptr<FixedVsFloatingSwap>& swap,
             const std::vector<Time>& exerciseTimes,
             const std::vector<Date>& exerciseDates,
             const ext::shared_ptr<FdmMesher>& mesher,
@@ -1427,7 +1427,7 @@ class FdmAffineModelSwapInnerValue : public FdmInnerValueCalculator {
     FdmAffineModelSwapInnerValue(
         const ext::shared_ptr<ModelType>& disModel,
         const ext::shared_ptr<ModelType>& fwdModel,
-        const ext::shared_ptr<VanillaSwap>& swap,
+        const ext::shared_ptr<FixedVsFloatingSwap>& swap,
         const std::map<Time, Date>& exerciseDates,
         const ext::shared_ptr<FdmMesher>& mesher,
         Size direction);

diff --git a/SWIG/swaption.i b/SWIG/swaption.i
@@ -46,14 +46,15 @@ struct Settlement {
 %shared_ptr(Swaption)
 class Swaption : public Option {
   public:
-    Swaption(const ext::shared_ptr<VanillaSwap>& swap,
+    Swaption(const ext::shared_ptr<FixedVsFloatingSwap>& swap,
              const ext::shared_ptr<Exercise>& exercise,
              Settlement::Type type = Settlement::Physical,
              Settlement::Method settlementMethod = Settlement::PhysicalOTC);
 
     Settlement::Type settlementType() const;       
     Settlement::Method settlementMethod() const;
     VanillaSwap::Type type() const;
+    const ext::shared_ptr<FixedVsFloatingSwap>& underlying() const;
     const ext::shared_ptr<VanillaSwap>& underlyingSwap() const;
 
     //! implied volatility