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QuantLib_SwaptionHelper
Langue: en
Version: 373193 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::SwaptionHelper -calibration helper for ATM swaption
SYNOPSIS
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
Inherits QuantLib::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)
virtual void addTimesTo (std::list< Time > ×) const
virtual Real modelValue () const
returns the price of the instrument according to the model
virtual Real blackPrice (Volatility volatility) const
Black price given a volatility.
Detailed Description
calibration helper for ATM swaption
Bug
- This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM exercise rate is not recalculated when any of its observables change.
Examples:
BermudanSwaption.cpp.
Author
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Contenus ©2006-2024 Benjamin Poulain
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