Swaption (3) - Linux Manuals

Swaption: Swaption class

NAME

QuantLib::Swaption - Swaption class

SYNOPSIS

#include <ql/instruments/swaption.hpp>

Inherits QuantLib::Option.

Classes

class arguments
Arguments 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.

Author

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