Bermudan & Affine swaption submission

[tleitch]

Bermudan and Affine code and examples were rewritten. Search is limited to 5 market swaption vols for fit with the 1st swaption being the closest to the initial exercise date.

[tleitch]

Eliminated all warnings. Code is set up to run base case in BermudanSwaption example. BermudanSwaption will take either market quotes or a DiscountCurve. AffineSwaption will only take a DiscountCurve. AffineSwaption will do a European swaption or Bermudan, but both are valued using an affine rate model that is fit to a vol curve.

[eddelbuettel]

I only had a chance to glance at this so far but I haven't seen any reason not to merge....

[eddelbuettel]

Merged.

We still need to fill in ChangeLog and inst/NEWS.Rd -- can you draft something (incl preferred email address for you) and just post it here?

[tleitch]

Will do.

[tleitch]

ChangeLog:

2016-05-09 Terry Leitch [email protected]

* NAMSPACE: Updated to refelct new methods for affine swaption
* R/affine.R: New generic swaption model based on bermudan affine model
* R/bermudan.R: Swaption model modified to take more general tenor & expiration dates and curve input
* src/affine.cpp: New engine for affine swaption model
* src/bermudan.cpp: Swaptions for fit selection & yield curve fit moved up into bermudan.R
* man/AffineSwaption.Rmd: created
* man/BermudanSwaption.Rmd: Modified to reflect DiscountCurve option and example updated

NEWS.Rmd:

\section{Changes in RQuantLib version 0.4.3 (2016-06-30)}{
\itemize{
\item Changes in RQuantLib code:
\itemize{
\item BermudanSwaption has been modfied to take option expiration and swap tenors in order to
enable more general swaption structure pricing. A more general search for the swaptions was
developed to accomodate this. Also, a DiscountCurve is allowed as an alternative to market
quotes to reduce computation time for a portfolio on a given valuation date.
\item A parallel model to BermudanSwaption, AffineSwaption, was developed and has similar interface
to BermudanSwaption but it allows for valuation of a European exercise swaption valutaion utlizing
the same affine methods available in BermudanSwaption. AffineSwaption will also value a Bermudan
swaption, but it does not take rate market quotes to build
a term structure. A DiscountCurve object is required.(contributed by Terry Leitch in \ghpr{41})
}
}
}

[eddelbuettel]

Thank you. From the look of it, you seem to have one more closing curly than opening. That would upset parsing, and R CMD check -- which you surely ran, right? RIGHT? ;-) -- would have told you too.

I'll fold that in.

Edit: I take that back. Three vs three. So maybe you committed against a non-current fork. I have idea, really. I am sure you figure it put.

[eddelbuettel]

As for email, it is now jhu, it was uchicago before. Do you prefer one over the other?

[tleitch]

Yes, want to move to jhu email as it has better filters which is good when
facing the public.

[eddelbuettel]

I'll update accordingly.

[eddelbuettel]

Now committed in 0660070