BermudanSwaption - Example of using QuantLib
BermudanSwaption
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 protected]>, the
Debian GNU/Linux maintainer for
QuantLib.