mafipy.function.sabr_payers_swaption_value

mafipy.function.sabr_payers_swaption_value(init_swap_rate, option_strike, swap_annuity, option_maturity, alpha, beta, rho, nu)

calculate european payer’s swaption value. See Hagan, P. S., Kumar, D., Lesniewski, A. S., & Woodward, D. E. (2002). Managing smile risk. Wilmott Magazine, m, 84–108. Retrieved from http://www.math.columbia.edu/~lrb/sabrAll.pdf

Parameters:

• init_swap_rate (float) –
• option_strike (float) –
• swap_annuity (float) –
• option_maturity (float) –
• alpha (float) – must be greater than 0.
• beta (float) – must be within \([0, 1]\).
• rho (float) – must be within \([-1, 1]\).
• nu (float) – must be positive.

Returns:

value.

Return type:

float.