QuantLib_Swaption (3) Linux Manual Page
QuantLib::Swaption – Swaption class
Synopsis
#include <ql/instruments/swaption.hpp>Inherits QuantLib::Option.
Classes
class argumentsArguments for swaption calculation
class engine
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) const
implied volatility
Instrument interface
bool isExpired () const
returns whether the instrument is still tradable.
void setupArguments (PricingEngine::arguments *) const
Inspectors
Settlement::Type settlementType () const
VanillaSwap::Type type () const
const boost::shared_ptr< VanillaSwap > & underlyingSwap () const
Detailed Description
Swaption class Tests
- *
- 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.
- *
Possible enhancements
- add greeks and explicit exercise lag
Examples:
BermudanSwaption.cpp.
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 Option.