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NAME

       BermudanSwaption - Example of using QuantLib

SYNOPSIS

       BermudanSwaption

DESCRIPTION

       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.

SEE ALSO

       The   source  code  BermudanSwaption.cpp,  Bonds(1),  CallableBonds(1),
       CDS(1),   ConvertibleBonds(1),   DiscreteHedging(1),   EquityOption(1),
       FittedBondCurve(1),  FRA(1),  MarketModels(1), Replication(1), Repo(1),
       SwapValuation(1),   the   QuantLib   documentation   and   website   at
       http://quantlib.org.

AUTHORS

       The QuantLib Group (see Authors.txt).

       This  manual  page was added by Dirk Eddelbuettel <edd@debian.org>, the
       Debian GNU/Linux maintainer for QuantLib.