SwaptionHelper Class Reference

#include <ql/ShortRateModels/CalibrationHelpers/swaptionhelper.hpp>

Inheritance diagram for SwaptionHelper:

Inheritance graph
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List of all members.

Detailed Description

calibration helper for ATM swaption
Examples:

BermudanSwaption.cpp.


Public Member Functions

 SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< Xibor > &index, Frequency fixedLegFrequency, const DayCounter &fixedLegDayCounter, const Handle< YieldTermStructure > &termStructure, bool calibrateVolatility=false)
 SwaptionHelper (const Period &maturity, const Period &length, const Handle< Quote > &volatility, const boost::shared_ptr< Xibor > &index, Frequency fixedLegFrequency, 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.


Constructor & Destructor Documentation

SwaptionHelper const Period maturity,
const Period length,
const Handle< Quote > &  volatility,
const boost::shared_ptr< Xibor > &  index,
Frequency  fixedLegFrequency,
const DayCounter fixedLegDayCounter,
const Handle< YieldTermStructure > &  termStructure,
bool  calibrateVolatility = false
 

Deprecated:
use the other constructor