BermudanSwaption man page

BermudanSwaption — Example of using QuantLib


BermudanSwaption is an example of using the QuantLib interest-rate model framework.

BermudanSwaption prices a bermudan swaption using different models calibrated to market swaptions. The calibration examples include Hull and White's using both an analytic formula as well as numerically, and Black and Karasinski's model. Using these three calibrations, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-money volatilities.

See Also

The source code BermudanSwaption.cpp, Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), Replication(1), Repo(1), SwapValuation(1), the QuantLib documentation and website at http://quantlib.org.


The QuantLib Group (see Authors.txt).

This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the Debian GNU/Linux maintainer for QuantLib.

Referenced By

BasketLosses(1), Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), CVAIRS(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), Gaussian1dModels(1), LatentModel(1), MarketModels(1), MultidimIntegral(1), Replication(1), Repo(1), SwapValuation(1).

Explore man page connections for BermudanSwaption(1).

QuantLib 04 May 2002