Instruments

Instruments accept QuantLib payoff and exercise objects or plain tuples. Each entry names the QuantLib engine its frozen limit is checked against.

Bonds

rl.ZeroCouponBond(maturity, dayCounter=None, regimeAtMaturity=None)

Unit face value paid at maturity. With regimeAtMaturity = j the face value is paid only if the regime at maturity is j, which prices the memory of the regime; the sum over j is the plain bond. Under an intensity model the bond price is the survival probability. Frozen limit: ql.Vasicek.discountBond, ql.CoxIngersollRoss.discountBond, the Hull–White and G2 curves.

bond = rl.ZeroCouponBond(5.0)
bond.setPricingEngine(rl.FastSwitchingEngine(model, order=4))
bond.NPV(), bond.delta(), bond.gamma()          # delta and gamma in r0

rl.CouponBond(cashflows=None, faceAmount=None, couponRate=None, times=None, dayCounter=None)

Fixed cash flows as a list of (time, amount), or QuantLib-style (faceAmount, couponRate, times) with the last time carrying the face. Priced as the sum of zero-coupon bonds.

rl.CouponBond(faceAmount=100.0, couponRate=0.05, times=[1.0, 2.0, 3.0, 4.0, 5.0])
rl.CouponBond(cashflows=[(1.0, 5.0), (2.0, 105.0)])

Options

rl.VanillaOption(payoff, exercise=None, maturity=None, dayCounter=None)

European or American option. payoff is a QuantLib PlainVanillaPayoff, CashOrNothingPayoff or AssetOrNothingPayoff, or a tuple: ("call", K), ("put", K), ("cash", "call", K, cash), ("asset", "put", K). exercise is a QuantLib EuropeanExercise or AmericanExercise, or the string "american"; otherwise give maturity. American exercise is priced by SwitchingFDEngine. Frozen limit: AnalyticEuropeanEngine, AnalyticHestonEngine, JumpDiffusionEngine, BatesEngine, VarianceGammaEngine, AnalyticDigitalAmericanEngine for the digitals, FdBlackScholesVanillaEngine for the American.

european = rl.VanillaOption(("call", 100.0), maturity=1.0)
american = rl.VanillaOption(("put", 105.0), exercise="american", maturity=1.0)
digital = rl.VanillaOption(("cash", "call", 100.0, 10.0), maturity=0.5)
ql_style = rl.VanillaOption(ql.PlainVanillaPayoff(ql.Option.Put, 105.0), ql.AmericanExercise(today, expiry))

VanillaOption.impliedVolatility(price=None, accuracy=1e-10, maxEvaluations=200, minVol=1e-4, maxVol=4.0)

The Black volatility reproducing the price (the instrument’s own NPV() unless price is given), for a plain vanilla payoff, as QuantLib’s VanillaOption.impliedVolatility.

rl.BarrierOption(barrierType, barrier, rebate, payoff, exercise=None, maturity=None, dayCounter=None)

Continuously monitored single barrier. barrierType is QuantLib’s Barrier.DownIn, UpIn, DownOut, UpOut or one of "downin", "upin", "downout", "upout"; the rebate is paid at the hit for knock-out and at expiry for knock-in. Priced by SwitchingFDEngine with the grid truncated at the barrier; knock-in is the vanilla less the knock-out. Frozen limit: AnalyticBarrierEngine.

ko = rl.BarrierOption("downout", 80.0, 0.0, ("put", 100.0), maturity=1.0)
ko.setPricingEngine(rl.SwitchingFDEngine(model, regime=0, n=1601, steps=600))

rl.ContinuousGeometricAsianOption(payoff, exercise=None, maturity=None, dayCounter=None)

Fixed-strike option on the continuous geometric average of the price from now to expiry. The time average of the log price gives a forcing quadratic in time to maturity, so the characteristic-function engines price it exactly. Frozen limit: AnalyticContinuousGeometricAveragePriceAsianEngine.

asian = rl.ContinuousGeometricAsianOption(("call", 100.0), maturity=1.0)
asian.setPricingEngine(rl.NumericalSwitchingEngine(model))

Interest-rate options

rl.ZeroCouponBondOption(kind, strike, maturity, bondMaturity)

European call or put expiring at maturity on the unit bond maturing at bondMaturity, under SwitchingVasicek, SwitchingHullWhite or SwitchingG2, by Gil–Pelaez integrals conditioned on the regime at expiry. Frozen limit: Vasicek.discountBondOption, HullWhite.discountBondOption, G2.discountBondOption.

rl.ZeroCouponBondOption("call", 0.9, 2.0, 5.0)

rl.CouponBondOption(kind, strike, maturity, cashflows, dayCounter=None)

European option on a bond with fixed cash flows [(time, amount), ...] after expiry, by Jamshidian’s decomposition conditioned on the regime at expiry (one crossing per regime), under SwitchingVasicek and SwitchingHullWhite; on the short-rate grid under CIR and G2 as well.

rl.Swaption(kind, maturity, fixedTimes, fixedRate, notional=1.0, dayCounter=None, exerciseTimes=None)

European or Bermudan swaption on a fixed-for-floating swap: kind "payer" or "receiver", expiry, the fixed-leg payment times (the first accrual starts at expiry), fixed rate and notional. A receiver swaption is a call on the coupon bond struck at par, a payer swaption the put. With exerciseTimes (or a QuantLib BermudanExercise in place of maturity) the swaption is Bermudan and priced by SwitchingFDEngine on the short-rate grid. Frozen limit: JamshidianSwaptionEngine, G2SwaptionEngine, FdHullWhiteSwaptionEngine, FdG2SwaptionEngine.

european = rl.Swaption("payer", 2.0, [3.0, 4.0, 5.0, 6.0, 7.0], 0.035, notional=100.0)
bermudan = rl.Swaption("payer", 1.0, [2.0, 3.0, 4.0, 5.0, 6.0], 0.035, exerciseTimes=[1.0, 2.0, 3.0, 4.0, 5.0])
bermudan.setPricingEngine(rl.SwitchingFDEngine(hullWhiteModel, n=1201, steps=600))

rl.CapFloor(kind, times, strike, notional=1.0, dayCounter=None)

Cap or floor on the simple forward rate over the consecutive periods times = [T0, ..., Tn]. Each caplet is (1 + tau K) puts on the zero-coupon bond maturing at the period end, expiring at its start, struck at 1 / (1 + tau K); floorlets are the calls. Frozen limit: AnalyticCapFloorEngine (G2: the sum of its bond puts).

cap = rl.CapFloor("cap", [1.0, 2.0, 3.0, 4.0, 5.0], 0.03)

Credit

rl.CreditDefaultSwap(side, spread, times, recovery, discount=0.0, accrualOnDefault=True, dayCounter=None)

Protection on a unit notional with the premium spread paid at times, recovery recovery, on a model whose bond price is the survival probability (SwitchingVasicek, SwitchingCoxIngersollRoss, SwitchingVasicekJumps used as intensities). discount is a flat risk-free rate or a callable t -> discount factor. Protection is valued at the mid-point of each accrual period, as QuantLib’s MidPointCdsEngine. fairSpread(), couponLegNPV() and defaultLegNPV() are available after NPV().

intensity = rl.SwitchingCoxIngersollRoss(chain, 0.02, theta=[0.05, 0.01], k=0.5, sigma=0.08)
cds = rl.CreditDefaultSwap("buyer", 0.02, [0.5 * i for i in range(1, 11)], 0.4, discount=0.03)
cds.setPricingEngine(rl.NumericalSwitchingEngine(intensity, regime=0))
cds.fairSpread()

rl.FirstToDefaultSwap(...)

The same class on a SwitchingIntensityBasket: the premium runs until the first default among the names, the protection pays at the first default.