table of contents
|BERMUDANSWAPTION(1)||General Commands Manual||BERMUDANSWAPTION(1)|
BermudanSwaption - Example of using QuantLib
BermudanSwaption is an example of using the QuantLib interest-rate model framework.
BermudanSwaption prices a bermudan swaption using different models calibrated to market swaptions. The calibration examples include Hull and White's using both an analytic formula as well as numerically, and Black and Karasinski's model. Using these three calibrations, Bermudan swaptions are priced for at-the-money, out-of-the-money and in-the-money volatilities.
The source code BermudanSwaption.cpp, Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBondCurve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replication(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org.
The QuantLib Group (see Contributors.txt).
This manual page was added by Dirk Eddelbuettel <email@example.com>, the Debian GNU/Linux maintainer for QuantLib.
|04 May 2002||QuantLib|