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

Classes | |
class | arguments |
Arguments for swaption calculation More... | |
class | engine |
base class for swaption engines More... | |
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 might have value greater than zero. | |
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:
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |