Swaption Class Reference
[Financial instruments]
#include <ql/Instruments/swaption.hpp>
Inheritance diagram for Swaption:

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.
- Todo:
- add greeks and explicit exercise lag
- Examples:
Public Member Functions | |
Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, const Handle< YieldTermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine, Settlement::Type delivery=Settlement::Physical) | |
void | setupArguments (Arguments *) const |
Volatility | impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const |
implied volatility | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
Inspectors | |
Settlement::Type | settlementType () const |
const boost::shared_ptr< VanillaSwap > & | underlyingSwap () const |
Classes | |
class | arguments |
Arguments for swaption calculation More... | |
class | engine |
base class for swaption engines More... | |
class | results |
Results from swaption calculation More... |
Member Function Documentation
void setupArguments | ( | 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 Instrument.