C# Class HullAndWhiteOneFactor.SwaptionHW1

This class provides closed form pricing of for Swaptions (the holder has the right to pay the fixed rate and receive floating rate) using the HW1 factor model.

Show file Open project: fairmat/InterestRatesModels Class Usage Examples

Public Methods

Method	Description
A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double	Calculates the function A() to be used in the Bond() method.
ForwardSwapRate ( double t, Vector T ) : double	Calculates the forward swap rate.
Func ( Vector x ) : double	Function to be used in the FSolve() problem of HWSwaption() method. This is a version done to double check the HW Swaption, with dt fixed to 0.001.
HWSwaption ( double a, double sigma, double l, double k, double T, Vector s ) : double	Price of a swaption in HW1 model: the holder has the right to pay the fixed rate and receive floating rate. This is a different version of the main one to do a double check of the swaption.
HWSwaption ( double a, double sigma, double l, double k, double swaptionMaturity, double swapDuration, double deltaK ) : double
HWSwaptionMatrix ( Vector swaptionMaturity, Vector swapDuration, double a, double sigma, double deltaK ) : System.Matrix	Calculates a matrix of swaption prices within Hull-White model.
SwaptionHW1 ( System.Function zeroratecurve ) : System	Initializes a new instance of the HullAndWhiteOneFactor.SwaptionHW1 class.
ZCBPut ( double a, double sigma, double L, double K, double T, double s ) : double	Calculates the value of a put option on a zero coupon bond.
alphaTFunc ( double t ) : double	Calculation of alpha function

Private Methods

Method	Description
AlphaInt ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double	Calculates the integral of alpha function to be used in the A() method.
B ( double T, double alpha ) : double	Calculates the function B() to be used in the Bond() method.
F ( double t, double dt ) : double	Numerically calculates the instantaneous forward rate.
H ( double a, double sigma, double L, double K, double T, double s ) : double	Calculates H() function to be used in ZCBPut() method.
HWBond ( double a, double sigma, double r, Vector T, double t ) : Vector	Calculates a vector of zero coupon bond prices (discount factors) within the Hull-White model. This is a version done to double check the HW swaption.
PZC ( double t ) : double	Helper function to make functions easier to read. Just returns the value of the discount factor at position t. This is calculated with e^(-ZR(t)*t).
SigmaP ( double a, double sigma, double T, double s ) : double	Calculates SigmaP() function to be used in ZCBPut() method.
ZR ( double k ) : double	Helper function to make functions easier to read. Just returns the value of the zero rate at position k.

Method Details

A() public static method

Calculates the function A() to be used in the Bond() method.

public static A ( double t, double T, double alpha, double sigma, System.Function zeroRateCurve ) : double
t	double	/// The time at which the Bond price will be calculated. ///
T	double	/// The bond maturity. ///
alpha	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
zeroRateCurve	System.Function	/// Zero rate curve. ///
return	double

ForwardSwapRate() public method

Calculates the forward swap rate.

public ForwardSwapRate ( double t, Vector T ) : double
t	double	/// The swap starting time. ///
T	Vector	/// The vector of swap payment times. ///
return	double

Func() public method

Function to be used in the FSolve() problem of HWSwaption() method. This is a version done to double check the HW Swaption, with dt fixed to 0.001.

public Func ( Vector x ) : double
x	Vector	/// Vector of length 1 representing the variable on which the FSolve problem is performed. ///
return	double

HWSwaption() public method

Price of a swaption in HW1 model: the holder has the right to pay the fixed rate and receive floating rate. This is a different version of the main one to do a double check of the swaption.

public HWSwaption ( double a, double sigma, double l, double k, double T, Vector s ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
l	double	/// The Notional. ///
k	double	/// The Strike. ///
T	double	/// The maturity. ///
s	Vector	/// Vector of swaption payment dates. ///
return	double

HWSwaption() public method

public HWSwaption ( double a, double sigma, double l, double k, double swaptionMaturity, double swapDuration, double deltaK ) : double
a	double
sigma	double
l	double
k	double
swaptionMaturity	double
swapDuration	double
deltaK	double
return	double

HWSwaptionMatrix() public method

Calculates a matrix of swaption prices within Hull-White model.

public HWSwaptionMatrix ( Vector swaptionMaturity, Vector swapDuration, double a, double sigma, double deltaK ) : System.Matrix
swaptionMaturity	Vector	/// Vector of swaption maturity. ///
swapDuration	Vector	/// Vector of swap duration. ///
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
deltaK	double	/// Time interval between swap coupon expressed in year fraction. ///
return	System.Matrix

SwaptionHW1() public method

Initializes a new instance of the HullAndWhiteOneFactor.SwaptionHW1 class.

public SwaptionHW1 ( System.Function zeroratecurve ) : System
zeroratecurve	System.Function	/// The zero-rate curve reference for the model. ///
return	System

ZCBPut() public method

Calculates the value of a put option on a zero coupon bond.

public ZCBPut ( double a, double sigma, double L, double K, double T, double s ) : double
a	double	/// Hull-White alpha parameter. ///
sigma	double	/// Hull-White sigma parameter. ///
L	double	/// Zero coupon notional. ///
K	double	/// Bond rate. ///
T	double	/// The maturity of the option. ///
s	double	/// The maturity of the bond. ///
return	double

alphaTFunc() public method

Calculation of alpha function

public alphaTFunc ( double t ) : double
t	double	Time at which calculate the alpha function
return	double