QuantLib_SwaptionHelper man page

SwaptionHelper — calibration helper for ATM swaption

Synopsis

#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>

Inherits CalibrationHelper.

Public Member Functions

SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError, const Real strike=Null< Real >(), const Real nominal=1.0, const VolatilityType type=ShiftedLognormal, const Real shift=0.0)

QL_DEPRECATED SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

QL_DEPRECATED SwaptionHelper (const Date &exerciseDate, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

QL_DEPRECATED SwaptionHelper (const Date &exerciseDate, const Date &endDate, const Handle< Quote > &volatility, const boost::shared_ptr< IborIndex > &index, const Period &fixedLegTenor, const DayCounter &fixedLegDayCounter, const DayCounter &floatingLegDayCounter, const Handle< YieldTermStructure > &termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

virtual void addTimesTo (std::list< Time > &times) const

virtual Real modelValue () const
returns the price of the instrument according to the model
virtual Real blackPrice (Volatility volatility) const
Black or Bachelier price given a volatility.
boost::shared_ptr< VanillaSwap > underlyingSwap () const

boost::shared_ptr< Swaption > swaption () const

Additional Inherited Members

Detailed Description

calibration helper for ATM swaption

Examples: BermudanSwaption.cpp.

Constructor & Destructor Documentation

QL_DEPRECATED SwaptionHelper (const Period & maturity, const Period & length, const Handle< Quote > & volatility, const boost::shared_ptr< IborIndex > & index, const Period & fixedLegTenor, const DayCounter & fixedLegDayCounter, const DayCounter & floatingLegDayCounter, const Handle< YieldTermStructure > & termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

Deprecated

Use the constructor taking an explicit volatility type

QL_DEPRECATED SwaptionHelper (const Date & exerciseDate, const Period & length, const Handle< Quote > & volatility, const boost::shared_ptr< IborIndex > & index, const Period & fixedLegTenor, const DayCounter & fixedLegDayCounter, const DayCounter & floatingLegDayCounter, const Handle< YieldTermStructure > & termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

Deprecated

Use the constructor taking an explicit volatility type

QL_DEPRECATED SwaptionHelper (const Date & exerciseDate, const Date & endDate, const Handle< Quote > & volatility, const boost::shared_ptr< IborIndex > & index, const Period & fixedLegTenor, const DayCounter & fixedLegDayCounter, const DayCounter & floatingLegDayCounter, const Handle< YieldTermStructure > & termStructure, CalibrationHelper::CalibrationErrorType errorType, const Real strike, const Real nominal, const Real shift)

Deprecated

Use the constructor taking an explicit volatility type

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

SwaptionHelper(3) is an alias of QuantLib_SwaptionHelper(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib