Swaption
Price European or Bermudan options on an interest-rate swap, with explicit control over the underlying swap, the volatility surface, and the pricing model. Fields shared with every product are explained on the Pricing overview.
Pricing Context
| Field | Control | Default | What it does |
|---|---|---|---|
| As Of Date | Date | 2025-01-15 | Valuation date. |
| Exercise Date | Date | +1y | The (European) option expiry / exercise date. |
| Discounting Curve (PV) | Two dropdowns | Standalone → none | Curve used to present-value the swaption. |
| Forecasting Curve (Index projection) | Dropdowns | — | Curve projecting the underlying swap's floating index. |
| Single-curve mode | Checkbox | on | Reuse the discount curve for projection. |
| Attach quote book snapshot to pricing request | Checkbox | on | Bundle quote-book values for server-side quote resolution. |
| Rebump greeks | Checkbox | off | Re-bump inputs to recompute sensitivities (greeks). |
| Pricing details | Checkbox | off | Return extra diagnostic detail in the pricing response. |
Swaption Terms
| Field | Options | Default | What it does |
|---|---|---|---|
| Exercise Type | European, Bermudan, American | European | Option style. Bermudan reveals an Exercise Dates textarea (one date per line, at least two) and forces a lattice model. |
| Settlement Type | Physical, Cash | Physical | Whether exercise delivers the physical swap or a cash amount. |
| Settlement Method | ParYieldCurve, CollateralizedCashPrice | ParYieldCurve | Cash-settlement pricing method. Cash only |
| Exercise Dates | Textarea (YYYY-MM-DD per line) | — | The Bermudan exercise schedule. Bermudan only |
Underlying Swap
Defines the swap the option is written on.
| Field | Options | Default | What it does |
|---|---|---|---|
| Swap Type | Payer, Receiver | Payer | Whether the underlying swap pays or receives fixed on exercise. |
| Underlying Type | IborSwap, OisSwap | IborSwap | IBOR-based or overnight-indexed underlying swap. OisSwap swaps the floating fields for an overnight leg and an Averaging Method. |
| Fixed Rate | Number | 0.025 | Strike — the fixed rate of the underlying swap. |
| Notional | Number | 1,000,000 | Face amount of the underlying swap. |
| Fixed Day Counter | Day-counter list | Thirty360 | Accrual basis for the fixed leg. |
| Fixed Payment Convention | Business-day-convention list | ModifiedFollowing | Business-day rule for fixed payments. |
| Floating / Overnight Index | Index picker | EURIBOR_6M | The index for the floating (or overnight) leg. Filtered to IBOR or Overnight per the Underlying Type. |
| Averaging Method | Compound, Simple, SimpleThenCompounded | Compound | Overnight-rate averaging. OisSwap only |
| Floating Spread | Number | 0 | Spread over the floating index. IborSwap only |
| Fixing Days | Number | 2 | Index fixing lag in business days. IborSwap only |
| Fixed / Floating Schedule | Start + end dates | — | Accrual start and end for each leg (paired date fields). |
| Fixed Frequency | Annual, Semiannual, Quarterly, Monthly | Annual | Fixed-leg coupon frequency. |
| Floating / Overnight Frequency | Annual, Semiannual, Quarterly, Monthly | Semiannual | Floating-leg coupon frequency. |
| Calendar | Calendar list | TARGET | Holiday calendar for the underlying-swap schedules. |
Volatility & Model
Routes Constant, AtmMatrix, SmileCube, and SABR-params surfaces through the canonical volatility wire.
| Field | Options | Default | What it does |
|---|---|---|---|
| Volatility Source | Use inline settings, or a saved surface | Use inline settings | Pick a saved vol surface, or define volatility inline with the fields below. |
| Volatility Type | Normal, Lognormal, ShiftedLognormal | Normal | The quoting convention of the volatility. |
| Constant Vol | Number | 0.005 | The flat volatility level (inline mode). |
| Vol Day Counter | Day-counter list | Actual365Fixed | Day count for the volatility term structure. |
| Vol Calendar | Calendar list | TARGET | Calendar for the volatility term structure. |
| Vol Convention | Business-day-convention list | ModifiedFollowing | Business-day rule for the volatility term structure. |
| Displacement | Number | — | The shift applied to rates. ShiftedLognormal only |
| Model ID | Text | swaptmodel | Identifier for the pricing model instance. |
| Model Type | Black, ShiftedBlack, Bachelier, HullWhiteLattice | Bachelier | The pricing model. Bermudan forces a lattice (Hull-White) model. |
For a Bermudan swaption an extra Bermudan Model Source block appears, letting you use a saved calibrated model or calibrate one (Explicit / Calibrate).
Day-counter options: Actual360, Actual365Fixed, Thirty360, ActualActual and its variants, Business252, One, Simple. Business-day conventions: Following, ModifiedFollowing, Preceding, Unadjusted, HalfMonthModifiedFollowing, ModifiedPreceding, Nearest.
Reading the results
The results panel reports:
- NPV — the option value as of the As-Of date.
- Implied Volatility — the vol implied by the priced value.
- ATM Forward and Annuity — the at-the-money forward swap rate and the annuity (level) of the underlying swap.
- Greeks — Vega, DV01, Gamma, and Theta.