QuantLib_Swaption man page
Swaption — Swaption class
Arguments for swaption calculation
base class for swaption engines
Public Member Functions
Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical)
Volatility impliedVolatility (Real price, const Handle< YieldTermStructure > &discountCurve, Volatility guess, Real accuracy=1.0e-4, Natural maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0, VolatilityType type=ShiftedLognormal, Real displacement=0.0) const
bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const
Settlement::Type settlementType () const
VanillaSwap::Type type () const
const boost::shared_ptr< VanillaSwap > & underlyingSwap () const
Additional Inherited Members
- the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption decreases (resp. increases) with the strike.
- the correctness of the returned value is tested by checking that the price of a payer (resp. receiver) swaption increases (resp. decreases) with the spread.
- the correctness of the returned value is tested by checking it against that of a swaption on a swap with no spread and a correspondingly adjusted fixed rate.
- the correctness of the returned value is tested by checking it against a known good value.
- the correctness of the returned value of cash settled swaptions is tested by checking the modified annuity against a value calculated without using the Swaption class.
Member Function Documentation
void setupArguments (PricingEngine::arguments *) const [virtual]
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Instrument.
Generated automatically by Doxygen for QuantLib from the source code.
The man page Swaption(3) is an alias of QuantLib_Swaption(3).