SwaptionHelper Class Reference
#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>
Inheritance diagram for SwaptionHelper:

Detailed Description
calibration helper for ATM swaption- Examples:
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 > ×) 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. |