SwaptionHelper Class Reference

calibration helper for ATM swaption More...

#include <ql/models/shortrate/calibrationhelpers/swaptionhelper.hpp>

Inheritance diagram for SwaptionHelper:

List of all members.

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, CalibrationHelper::CalibrationErrorType errorType=CalibrationHelper::RelativePriceError)
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.

Detailed Description

calibration helper for ATM swaption

Bug:
This helper does not register with the passed IBOR index and with the evaluation date. Furthermore, the ATM exercise rate is not recalculated when any of its observables change.
Examples:

BermudanSwaption.cpp.