### Name: BermudanSwaption
### Title: Bermudan swaption valuation using several short-rate models
### Aliases: BermudanSwaption BermudanSwaption.default summary.G2Analytic
###   summary.HWAnalytic summary.HWTree summary.BKTree
### Keywords: models

### ** Examples


# This data is taken from sample code shipped with QuantLib 0.3.10.
params <- list(tradeDate=as.Date('2002-2-15'),
               settleDate=as.Date('2002-2-19'),
               payFixed=TRUE,
               strike=.06,
               method="G2Analytic",
               interpWhat="discount",
               interpHow="loglinear")
                
# Market data used to construct the term structure of interest rates
tsQuotes <- list(d1w  =0.0382,
                 d1m  =0.0372,
                 fut1=96.2875,
                 fut2=96.7875,
                 fut3=96.9875,
                 fut4=96.6875,
                 fut5=96.4875,
                 fut6=96.3875,
                 fut7=96.2875,
                 fut8=96.0875,
                 s3y  =0.0398,
                 s5y  =0.0443,
                 s10y =0.05165,
                 s15y =0.055175)

# Use this to compare with the Bermudan swaption example from QuantLib
#tsQuotes <- list(flat=0.04875825)

# Swaption volatility matrix with corresponding maturities and tenors
swaptionMaturities <- c(1,2,3,4,5)

swapTenors <- c(1,2,3,4,5)

volMatrix <- matrix(
                    c(0.1490, 0.1340, 0.1228, 0.1189, 0.1148,
                      0.1290, 0.1201, 0.1146, 0.1108, 0.1040,
                      0.1149, 0.1112, 0.1070, 0.1010, 0.0957,
                      0.1047, 0.1021, 0.0980, 0.0951, 0.1270,
                      0.1000, 0.0950, 0.0900, 0.1230, 0.1160),
                    ncol=5, byrow=TRUE)

# Price the Bermudan swaption
pricing <- BermudanSwaption(params, tsQuotes,
                            swaptionMaturities, swapTenors, volMatrix)
summary(pricing)



