Allow use of forward price for swaptions implied volatility

lballabio · Jul 17, 2024 · e2de592 · e2de592
1 parent a1fbc80
commit e2de592
Showing 1 changed file with 8 additions and 1 deletion.
diff --git a/SWIG/swaption.i b/SWIG/swaption.i
@@ -46,6 +46,8 @@ struct Settlement {
 %shared_ptr(Swaption)
 class Swaption : public Option {
   public:
+    enum PriceType { Spot, Forward };
+
     Swaption(const ext::shared_ptr<FixedVsFloatingSwap>& swap,
              const ext::shared_ptr<Exercise>& exercise,
              Settlement::Type type = Settlement::Physical,
@@ -67,7 +69,8 @@ class Swaption : public Option {
                           Volatility minVol = 1.0e-7,
                           Volatility maxVol = 4.0,
                           VolatilityType type = ShiftedLognormal,
-                          Real displacement = 0.0) const;
+                          Real displacement = 0.0,
+                          PriceType priceType = Spot) const;
     %extend {
         Real vega() {
             return self->result<Real>("vega");
@@ -80,6 +83,10 @@ class Swaption : public Option {
         Real annuity() {
             return self->result<Real>("annuity");
         }
+
+        Real forwardPrice() {
+            return self->result<Real>("forwardPrice");
+        }
     }
 };