Swaption Class Reference
[Financial instruments]

#include <ql/Instruments/swaption.hpp>

Inheritance diagram for Swaption:

Inheritance graph
[legend]
List of all members.

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.
Todo:
add greeks and explicit exercise lag
Examples:

BermudanSwaption.cpp.


Public Member Functions

 Swaption (const boost::shared_ptr< VanillaSwap > &swap, const boost::shared_ptr< Exercise > &exercise, const Handle< YieldTermStructure > &termStructure, const boost::shared_ptr< PricingEngine > &engine, Settlement::Type delivery=Settlement::Physical)
void setupArguments (Arguments *) const
Volatility impliedVolatility (Real price, Real accuracy=1.0e-4, Size maxEvaluations=100, Volatility minVol=QL_MIN_VOLATILITY, Volatility maxVol=QL_MAX_VOLATILITY) const
 implied volatility
Instrument interface
bool isExpired () const
 returns whether the instrument is still tradable.
Inspectors
Settlement::Type settlementType () const
const boost::shared_ptr< VanillaSwap > & underlyingSwap () const

Classes

class  arguments
 Arguments for swaption calculation More...
class  engine
 base class for swaption engines More...
class  results
 Results from swaption calculation More...


Member Function Documentation

void setupArguments ( Arguments  )  const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.