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BERMUDANSWAPTION

BERMUDANSWAPTION

Section: User Commands (1) Updated: 04 May 2002 Local index Up
 

NAME

BermudanSwaption - Example of using QuantLib  

SYNOPSIS

BermudanSwaption  

DESCRIPTION

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.

 

AUTHORS

The QuantLib Group (see Authors.txt).

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

 

Index

NAME
SYNOPSIS
DESCRIPTION
SEE ALSO
AUTHORS
This document was created by man2html, using the manual pages.
Time: 21:09:37 GMT, April 16, 2011