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BERMUDANSWAPTION(1) General Commands Manual BERMUDANSWAPTION(1) 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 cali- brated 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 volatili- ties. SEE ALSO The source code BermudanSwaption.cpp, Bonds(1), CallableBonds(1), CDS(1), ConvertibleBonds(1), DiscreteHedging(1), EquityOption(1), FittedBond- Curve(1), FRA(1), MarketModels(1), MulticurveBootstrapping(1), Replica- tion(1), Repo(1), the QuantLib documentation and website at https://www.quantlib.org. AUTHORS The QuantLib Group (see Contributors.txt). This manual page was added by Dirk Eddelbuettel <edd@debian.org>, the De- bian GNU/Linux maintainer for QuantLib. QuantLib 04 May 2002 BERMUDANSWAPTION(1)
NAME | SYNOPSIS | DESCRIPTION | SEE ALSO | AUTHORS
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