mafipy.function.sabr_receivers_swaption_value

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

calculate european reciever’s swaption value. This value is calculated by put-call parity. See sabr_payers_swaption_value().

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.