# A European payer swaption priced with QuantLib's Jamshidian engine under Hull-White.
# Ordinary QuantLib calls; nothing here knows about tracing.
def price(ql):
    today = ql.Date(6, 10, 2026)
    ql.Settings.instance().evaluationDate = today
    calendar = ql.TARGET()
    curve = ql.YieldTermStructureHandle(
        ql.FlatForward(today, ql.QuoteHandle(ql.SimpleQuote(0.03)), ql.Actual365Fixed()))
    index = ql.Euribor6M(curve)
    start = calendar.advance(today, ql.Period(1, ql.Years))
    end = calendar.advance(start, ql.Period(5, ql.Years))
    fixed = ql.Schedule(start, end, ql.Period(ql.Annual), calendar,
                        ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Forward, False)
    floating = ql.Schedule(start, end, ql.Period(ql.Semiannual), calendar,
                           ql.ModifiedFollowing, ql.ModifiedFollowing, ql.DateGeneration.Forward, False)
    swap = ql.VanillaSwap(ql.VanillaSwap.Payer, 1_000_000.0, fixed, 0.03,
                          ql.Thirty360(ql.Thirty360.BondBasis), floating, index, 0.0, ql.Actual360())
    swaption = ql.Swaption(swap, ql.EuropeanExercise(start))
    model = ql.HullWhite(curve, 0.05, 0.01)
    swaption.setPricingEngine(ql.JamshidianSwaptionEngine(model))
    return swaption.NPV()

if __name__ == "__main__":
    from aadc_quantlib_tracing import QuantLib as ql
    print(f"swaption NPV = {price(ql):.2f}")