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)
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.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

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

Fri Jun 2 2017 Version 1.10 QuantLib