Swaption Class Reference
[Financial instruments]
#include <ql/instruments/swaption.hpp>
Inheritance diagram for Swaption:
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:
Public Member Functions | |
| Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, Settlement::Type delivery=Settlement::Physical) | |
| void | setupArguments (PricingEngine::arguments *) const |
| Volatility | impliedVolatility (Real price, const Handle< YieldTermStructure > &termStructure, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=1.0e-7, Volatility maxVol=4.0) const |
| implied volatility | |
| Rate | atmRate () const |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument is still tradable. | |
Inspectors | |
| Settlement::Type | settlementType () const |
| VanillaSwap::Type | type () const |
|
const boost::shared_ptr < VanillaSwap > & | underlyingSwap () const |
Classes | |
| class | arguments |
| Arguments for swaption calculation More... | |
| class | engine |
| base class for swaption engines More... | |
Member Function Documentation
| void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |