SwaptionHelper (3) Linux Manual Page

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, bool calibrateVolatility=false)

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 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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